Question: Let U and V be independent random variables, each having a standard normal distribution. Show that the mgf E(e t (UV) ) of the random

Let U and V be independent random variables, each having a standard normal distribution. Show that the mgf E(et(UV)) of the random variable UV is (1 − t2)−1/2, −1 < t < 1.

Step by Step Solution

3.45 Rating (161 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock

EuV EuEV uEuV 121t212t2 t 1 Note that the mgf of UV i... View full answer

blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Statistical Techniques in Business Questions!