Question: 8. Let X1, X2, . . . be independent, identically distributed random variables, and Sn = X1+X2+ + Xn. Show that E(Sm/Sn)

8. Let X1, X2, . . . be independent, identically distributed random variables, and Sn = X1+X2+

· · · + Xn. Show that E(Sm/Sn) = m/n if m ≤ n, and E(Sm/Sn) = 1 + (m − n)μE(1/Sn) if m > n, where μ = E(X1). You may assume that all the expectations are finite.

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