Show that the MGF of X N ,2 ism(t ) E exp(tX)

Question:

Show that the MGF of X »N

¡

¹,¾2¢

ism(t ) Æ E

£

exp(tX)

¤

Æ exp

¡

t¹Åt 2¾2/2

¢

.

Hint: Write X Æ ¹Å¾Z.

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