Monday, August 6, 2018

probability - Poisson distribution with Poisson parameter

I have a problem with following exercise (it comes from Geoffrey G. Grimmett, David R. Stirzaker, Probability and Random Processes, Oxford University Press 2001, page 161, ex. 3a):



Let X have the Poisson distribution with parameter Y where Y has the Poisson distribution with parameter μ. Show that

GX+Y(s)=eμ(ses11)






So GY(s)=eμ(s1)
Now I want to compute GX (is this approach correct?)
GX(s)=x=0sxP(X=x)=x=0y=0sxeyyxx!eμμyy!


GX(s)=eμx=0sxx!y=0yxeyμyy!



And I don't know how to cope with this summation.




Secondly, are these variables independent? I.e. can I use then following formula? GX+Y(s)=GX(s)GY(s)



Thanks for your help.

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