Saturday, October 31, 2015

Expectation of a function in Poisson Distribution



Find the expectation of the function $\phi(x) = xe^{-x}$ in a Poisson distribution.



My Attempt: If $\lambda$ be the mean of Poisson distribution, then expectation of



$$\displaystyle \phi(x)=\sum_{x \mathop \ge 0} \frac{\phi(x)\lambda^xe^{-\lambda}}{x!}$$




$$= \displaystyle \sum_{x \mathop \ge 0} \frac{ xe^{-x}\lambda^xe^{-\lambda}}{x!}$$



$$= \displaystyle \lambda e^{-\lambda} \sum_{x \mathop \ge 1} \frac {e^{-x}} {\left({x-1}\right)!} \lambda^{x-1}$$



Now what?



Without the $e^{-x}$, the rest of summation is just a Taylor's expansion of $e^{\lambda}$, which gets cancelled.



But what do I do here?


Answer




Group together $e^{-x} \lambda^{x-1} = \frac{(\frac{\lambda}{e})^x}{\lambda}$, then do a bit of algebra to get the Taylor series for $e^s$ for some $s$.


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