I know that hte MGF is = the E[e^tx] How do i show that if i take a sample (X1;X2; : : :Xn) from the exponential density f(x) = A*e^(-Ax), then the sum Z = sum(Xi) has the gamma density? I found that the MGF for the exponential was A/(t-A) if that helps Thanks
Note that [tex] e^{t\sum X_i}} = \prod{e^{tX_i}} [/tex] This will relate the form of the mgf of the sum to the individual mgfs of the sample.