Let X be a non-negative integer-valued random variable with finite mean.
Show that
E(X)=∞∑n=0P(X>n)
This is the hint from my lecturer.
"Start with the definition E(X)=∑∞x=1xP(X=x). Rewrite the series as double sum."
For my opinion. I think the double sum have the form of ∑∑f(x), but how to get this form? And how to continue?
Answer
0P(X=0)+1P(X=1)+2P(X=2)+3P(X=3)+⋯=P(X=1)+P(X=2)+P(X=3)+⋯+P(X=2)+P(X=3)+⋯+P(X=3)+⋯+⋯
The sum in the first row is P(X>0); that in the second row is P(X>1); that in the third row is P(X>2), and so on.
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