Let X1, X2, . . . be independent and identically distributed random variables with distribution F having

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Let X1, X2, . . . be independent and identically distributed random variables with distribution F having mean μ and variance σ2, and assume that they are independent of the nonnegative integer valued random variable N. As noted in Example 3.11, where its expected value was determined, the random variable S = Ni

=1 Xi is called a compound random variable. Find its variance.

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