Let G be a geometric random variable with success probability p. Now, conditional on G = g, let X = U1U2 . . .Ug be a product of g independent and identically distributed uniform (on [0, 1]) random variables. For example, if g = 3 then X = U1U2U3 where the U1,U2,U3 are iid U[0, 1] random variables. Find the unconditional probability density function for X.

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter13: Probability And Calculus
Section13.CR: Chapter 13 Review
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Let G be a geometric random variable with success probability p. Now, conditional on G = g, let X = U1U2 . . .Ug be a product of g independent and identically distributed uniform (on [0, 1]) random variables. For example, if g = 3 then X = U1U2U3 where the U1,U2,U3 are iid U[0, 1] random variables.
Find the unconditional probability density function for X.

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Step 1

Here in this problem we will use the following Theorem,

E(X) = E(E(X|Y))

 

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