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kingwinner
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Homework Statement
Suppose X1,X2,... are independent each having exponential distirbution with parameter lambda and N has a Poisson(lambda) distribution and is independent of the Xi's. You are given that the moment generating function of a Gamma(alpha,lambda) variable is m(t)=[lambda/(lambda-t)]alpha
Find the moment generating function of SN=X1+X2+...+XN
Homework Equations
Just in case you are confused about the parameters above.
Poisson(lambda) =>E(W)=Var(W)=lambda
W~Gamma(alpha,lambda) => E(W)=alpha/lambda, Var(W)=alpha/lambda^2
The Attempt at a Solution
I know that the moment generating function of a sum of indepedent random variables is the product of the moment generating functions of each random variable. But here we have capital "N" and N follows some other distribution as well. This really scares me off...and I have no clue what to do in this case...
Does anyone have any idea? Please help!