Mathematical Methods for Physics and Engineering : A Comprehensive Guide

(Darren Dugan) #1

30.7 GENERATING FUNCTIONS


i.e. the PGF of the sum of two independent random variables is equal to the


product of their individual PGFs. The same result can be deduced in a less formal


way by noting that ifXandYare independent then


E

[
tX+Y

]
=E

[
tX

]
E

[
tY

]
.

Clearly result (30.80) can be extended to more than two random variables by


writingS 3 =S 2 +Zetc., to give


Φ(∑ni=1Xi)(t)=

∏n

i=1

ΦXi(t), (30.81)

and, further, if all theXihave the same probability distribution,


Φ(∑ni=1Xi)(t)=[ΦX(t)]n. (30.82)

This latter result has immediate application in the deduction of the PGF for the


binomial distribution from that for a single trial, equation (30.72).


Variable-length sums of random variables

As a final result in the theory of probability generating functions we show how to


calculate the PGF for a sum ofNrandom variables, all with the same probability


distribution, when the value ofNis itself a random variable but one with a


known probability distribution. In symbols, we wish to find the distribution


of


SN=X 1 +X 2 +···+XN, (30.83)

whereN is a random variable with Pr(N =n)=hn and PGFχN(t)=

hntn.
The probabilityξkthatSN=kis given by a sum of conditional probabilities,


namely§


ξk=

∑∞

n=0

Pr(N=n)Pr(X 0 +X 1 +X 2 +···+Xn=k)

=

∑∞

n=0

hn×coefficient oftkin [ΦX(t)]n.

Multiplying both sides of this equation bytkand summing over allk,weobtain


§FormallyX 0 = 0 has to be included, since Pr(N= 0) may be non-zero.
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