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Math Help - Probability sum question

  1. #1
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    Probability sum question

    Would someone be able to simplify the following;

    Sum(from i=1 to N(t)) of X(i,t)


    where N(t) is a poisson distributed random variable with mean 4.5
    Each X(i,t) is an independent log-normal varibles with mean and variance of 20,000
    need to repeat for each t = 1,2,3

    I don't need this solved, just in a form where it can written into excel to be evaluated.

    Also from about the 40 of the 150ish people I asked in my class about this, not one of us has even a slight clue as to how to do this

    thanks
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  2. #2
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    Quote Originally Posted by Aaron1097 View Post
    Would someone be able to simplify the following;

    Sum(from i=1 to N(t)) of X(i,t)


    where N(t) is a poisson distributed random variable with mean 4.5
    Each X(i,t) is an independent log-normal varibles with mean and variance of 20,000
    need to repeat for each t = 1,2,3

    I don't need this solved, just in a form where it can written into excel to be evaluated.

    Also from about the 40 of the 150ish people I asked in my class about this, not one of us has even a slight clue as to how to do this

    thanks
    What do you mean by evaluated, its a random variable. Do you mean code a random number generator that returns a instantiation of the Rv, or something else?

    CB
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  3. #3
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    Sorry for the miss-statement, I haven't actually been taught compound poisson, but apparently am expected to know and understand it.

    What I am after is the expected values and the variance, which I believe I can now evaluate, (though this is based only on what I have read of wikipeadia, so im not sure how correct this is)
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  4. #4
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    Quote Originally Posted by Aaron1097 View Post
    Sorry for the miss-statement, I haven't actually been taught compound poisson, but apparently am expected to know and understand it.

    What I am after is the expected values and the variance, which I believe I can now evaluate, (though this is based only on what I have read of wikipeadia, so im not sure how correct this is)
    The expected value can be calculated using Wald's Equation: Wald's equation - Wikipedia, the free encyclopedia

    The variance can be calculated using a modified argument.
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