Question: 2.5 Prove the probability-integral transformation (Theorem 2.5.1) by finding the moment-generating function of the random variable YFX(X), where X is absolutely continuous and has cdf

2.5 Prove the probability-integral transformation (Theorem 2.5.1) by finding the moment-generating function of the random variable Y¼FX(X), where X is absolutely continuous and has cdf FX.

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