If the MGF of random variable $X$ is denoted by $M(t)$, find a random variable which has the MGF $$\frac{1}{2-M(t)}.$$
I have tried to solve this problem using the Taylor series, but it did not work well!
If the MGF of random variable $X$ is denoted by $M(t)$, find a random variable which has the MGF $$\frac{1}{2-M(t)}.$$
I have tried to solve this problem using the Taylor series, but it did not work well!
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Answer:
$\frac{1}{2-M(t)}=\sum_{k=0}^\infty \frac{M(t)^k}{2^{k+1}}=\sum_{k=0}^\infty E[e^{t\sum_{n=0}^N X_n}|N=k]P[N=k]$.
where N is Geometric(0.5).