If the r.v.s X1 and X2 are independent, then show that eit(X1+X2) = eitX1 ( eitX2, t
Question:
εeit(X1+X2) = εeitX1 ( εeitX2, t ( (,
and by induction,
εeit(X1+...+xk) = εeitX1 ( ... ( εeitXk, t ( (
for the independent r.v.s x1, ...., Xk.
Write eit(X1+X2) = eitX1 ( eitx2 = [cos(tX1)+i sin (tX1)] ( [cos(tX2) + i sin (tX2)] and use Proposition 1.
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Related Book For
An Introduction to Measure Theoretic Probability
ISBN: 978-0128000427
2nd edition
Authors: George G. Roussas
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