Question: =+2.5. Prove the probability-integral transformation (Theorem 5.1) by finding the moment-generating function of the random variable Y FX X, where X has the continuous

=+2.5. Prove the probability-integral transformation (Theorem 5.1) by finding the moment-generating function of the random variable Y ¼ FX ðXÞ, where X has the continuous cumulative distribution FX and a moment-generating function that exists.

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