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(ses−1−1)
So GY(s)=eμ(s−1)
Now I want to compute GX (is this approach correct?)
GX(s)=∞∑x=0sxP(X=x)=∑x=0∑y=0sxe−yyxx!e−μμyy!
GX(s)=e−μ∑x=0sxx!∑y=0yxe−yμyy!
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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