Let X1,X2, . . . be independent positive continuous random variables with a common density function f
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Let X1,X2, . . . be independent positive continuous random variables with a common density function f , and suppose this sequence is independent of N, a Poisson random variable with mean λ. Define
Show that {N(t), t ≥ 0} is a nonhomogeneous Poisson process with intensity function λ(t) = λf (t ).
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