Let X 1 ,X 2 be independent standard exponential r.v.s. we proved that the r.v. Y =

Question:

Let X₁,X₂ be independent standard exponential r.v.’s. we proved that the r.v. Y = X₁ −X₂ has the two-sided exponential density f (x) = 1/2e^−|x|. Find the m.g.f. and density of Y using the method of partial fractions we touched on in Section 2.2.

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