COMPOUND RANDOM VARIABLES

DOI10.1017/S0269964804184039MaRDI QIDQ4673890zbMATH OpenFDO

Authors Erol A. Peköz, Sheldon M. Ross

Publication date 9 May 2005

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0269964804184039

zbMATH Keywords

independence

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10)

Review text

Let \(X_1,X_2,\dots\) be i.i.d. positive random variables, \(N\) be a nonnegative integer-valued random variable with \(0< EN<\infty\). Suppose that the random variable \(N\) and the sequence \(\{X_n\}_{n\geq 1}\) are independent. Define the random variable \(M\) independent of \(\{X_n\}_{n\geq 1}\) such that \(P\{M= n\}= nP\{N= n\}/EN\), \(n= 0,1,\dots\)\ . The main result of the paper is the equality \[ E(S_N h(S_N))= EN\cdot E(X_1 h(S_M)), \] for any measurable function \(h\). Suppose now in addition that the random variables \(X_1,X_2,\dots\) are integer-valued. The previous identity is used to obtain the recursive formulas for \(P\{S_N= k\}\) for possible values \(k\).

Recommendations

• scientific article; zbMATH DE number 4169770
• Compound sum distributions with dependence
• scientific article; zbMATH DE number 3909421
• Explicit formulas in a characterization of distributions of random variables by using random sums
• Cumulants of random sum distributions

Cites work

• Difference equation approaches in evaluation of compound distributions
• On a family of counting distributions and recursions for related compound distributions
• Recursive formulas for discrete distributions

Cited in

(10)

• On some compound random variables motivated by bulk queues
• Complex uncertain random variables
• scientific article; zbMATH DE number 3876293 (Why is no real title available?)
• scientific article; zbMATH DE number 4169770 (Why is no real title available?)
• scientific article; zbMATH DE number 4066050 (Why is no real title available?)
• Recurrence relations for higher order moments of a compound binomial random variable
• Compound sum distributions with dependence
• Nonparametric estimation in random sum models
• A Compound Poisson Approximation Inequality
• On recursions for moments of a compound random variable: an approach using an auxiliary counting random variable

This page was built for publication: COMPOUND RANDOM VARIABLES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4673890)