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13.4 Exercise 20

Avg difficulty 2.5

If X is a nonnegative integer-valued random variable, express the generating function as a power series.

  1. Show that the kth derivative at s=1s = 1 is
    gX(k)(1)=E[X(X-1)(X-2)⋯(X-k+1)]g_{X}^{\left(k\right)} \left(1\right) = E \left[X \left(X - 1\right) \left(X - 2\right) \hdots \left(X - k + 1\right)\right]
  2. Use this to show the Var [X]=gX''(1)+gX'(1)-[gX'(1)]2Var \left[X\right] = g_{X}^{' '} \left(1\right) + g_{X}^{'} \left(1\right) - \left[g_{X}^{'} \left(1\right)\right]^{2}.

Pfeiffer, Applied Probability, 13.4 Problems on Transform Methods, exercise 20

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Adapted from Applied Probability © 2009 Paul E. Pfeiffer. Licensed under CC BY 3.0. Source: Applied Probability. Imported at revision d7a0420.