Integral identities for random variables
Rockower, Edward B.
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Using a general method for deriving identities for random variables, the author finds a number of new results involving characteristic functions and generating functions. The method is simply to promote a parameter in an integral relation to the status of a random variable and then take expected values of both sides of the equation. Results include formulas for calculating the characteristic functions for sq x, square root of x, 1/x, sq x + x, sq R = sq x + sq y, etc. in terms of integral transforms of the characteristic functions for x and (x,y), etc. Generalizations to higher dimensions can be obtained using the same method. Expressions for inverse/ fractional moments, E(n ), etc. are also presented, demonstrating the method
NPS Report NumberNPS55-86-017
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