Show that the MGF of Z 2 Rm is E exp t 0Z

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Show that the MGF of Z 2 Rm is E

exp

t 0Z

¢¤

Æ exp

¡ 1 2 t 0t

for t 2 Rm.

Hint: Use Exercise 5.5 and the fact that the elements of Z are independent.

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Probability And Statistics For Economists

ISBN: 9780691235943

1st Edition

Authors: Bruce Hansen

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Question Posted: Sep 23, 2024 07:00 AM

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Show that the MGF of Z 2 Rm is E exp t 0Z

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Probability And Statistics For Economists

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