Chapter 26: Problem 20
For a non-negative integer random variable \(X\), in addition to the probability generating function \(\Phi_{X}(t)\) defined in equation (26.71) it is possible to define the probability generating function $$ \Psi_{X}(t)=\sum_{n=0}^{\infty} g_{n} t^{n} $$ where \(g_{n}\) is the probability that \(X>n\). (a) Prove that \(\Phi_{X}\) and \(\Psi_{X}\) are related by $$ \Psi_{X}(t)=\frac{1-\Phi_{X}(t)}{1-t} $$ (b) Show that \(E[X]\) is given by \(\Psi_{X}(1)\) and that the variance of \(X\) can be expressed as \(2 \Psi_{X}^{\prime}(1)+\Psi_{X}(1)-\left[\Psi_{X}(1)\right]^{2}\) (c) For a particular random variable \(X\), the probability that \(X>n\) is equal to \(\alpha^{n+1}\) with \(0<\alpha<1\). Use the results in \((\mathrm{b})\) to show that \(V[X]=\alpha(1-\alpha)^{-2}\).
Short Answer
Step by step solution
Key Concepts
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