Distribution of X-Y when X and Y are independent geometric












0














$X$ and $Y$ are independent geometric distributions with parameter $p$. Find the distribution for $X-Y$



I am aware that there are many similar questions. My problem with this specific transformation is that I cannot solve the summation I end up with.



This is what I have done:



$$Z = X - Y$$
$$P(Z=z) = P(X-Y=z)$$
$$= sum_{k=1}^infty P(Y=k)P(X=z+k)$$
$$= sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1}$$



Somehow the answer should be:



$$frac{p(1-p)^{|z|}}{2-p} $$



How does this sum turn into this final solution? Or have I done a mistake in the previous steps. Any help is appreciated, thanks!










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  • Note that $z$ belongs to the set of all integers. There are two cases to consider when finding the distribution of $Z$: when $kge 1$ ( so that $zge 0$ ) and when $kge 1-z$ ( so that $z<0$ ). You have written the sum for the first case. Combining both cases you would get the final answer as given.
    – StubbornAtom
    Nov 19 '18 at 9:00
















0














$X$ and $Y$ are independent geometric distributions with parameter $p$. Find the distribution for $X-Y$



I am aware that there are many similar questions. My problem with this specific transformation is that I cannot solve the summation I end up with.



This is what I have done:



$$Z = X - Y$$
$$P(Z=z) = P(X-Y=z)$$
$$= sum_{k=1}^infty P(Y=k)P(X=z+k)$$
$$= sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1}$$



Somehow the answer should be:



$$frac{p(1-p)^{|z|}}{2-p} $$



How does this sum turn into this final solution? Or have I done a mistake in the previous steps. Any help is appreciated, thanks!










share|cite|improve this question






















  • Note that $z$ belongs to the set of all integers. There are two cases to consider when finding the distribution of $Z$: when $kge 1$ ( so that $zge 0$ ) and when $kge 1-z$ ( so that $z<0$ ). You have written the sum for the first case. Combining both cases you would get the final answer as given.
    – StubbornAtom
    Nov 19 '18 at 9:00














0












0








0


0





$X$ and $Y$ are independent geometric distributions with parameter $p$. Find the distribution for $X-Y$



I am aware that there are many similar questions. My problem with this specific transformation is that I cannot solve the summation I end up with.



This is what I have done:



$$Z = X - Y$$
$$P(Z=z) = P(X-Y=z)$$
$$= sum_{k=1}^infty P(Y=k)P(X=z+k)$$
$$= sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1}$$



Somehow the answer should be:



$$frac{p(1-p)^{|z|}}{2-p} $$



How does this sum turn into this final solution? Or have I done a mistake in the previous steps. Any help is appreciated, thanks!










share|cite|improve this question













$X$ and $Y$ are independent geometric distributions with parameter $p$. Find the distribution for $X-Y$



I am aware that there are many similar questions. My problem with this specific transformation is that I cannot solve the summation I end up with.



This is what I have done:



$$Z = X - Y$$
$$P(Z=z) = P(X-Y=z)$$
$$= sum_{k=1}^infty P(Y=k)P(X=z+k)$$
$$= sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1}$$



Somehow the answer should be:



$$frac{p(1-p)^{|z|}}{2-p} $$



How does this sum turn into this final solution? Or have I done a mistake in the previous steps. Any help is appreciated, thanks!







probability probability-distributions summation transformation






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asked Nov 19 '18 at 4:51









SolidSnake

102




102












  • Note that $z$ belongs to the set of all integers. There are two cases to consider when finding the distribution of $Z$: when $kge 1$ ( so that $zge 0$ ) and when $kge 1-z$ ( so that $z<0$ ). You have written the sum for the first case. Combining both cases you would get the final answer as given.
    – StubbornAtom
    Nov 19 '18 at 9:00


















  • Note that $z$ belongs to the set of all integers. There are two cases to consider when finding the distribution of $Z$: when $kge 1$ ( so that $zge 0$ ) and when $kge 1-z$ ( so that $z<0$ ). You have written the sum for the first case. Combining both cases you would get the final answer as given.
    – StubbornAtom
    Nov 19 '18 at 9:00
















Note that $z$ belongs to the set of all integers. There are two cases to consider when finding the distribution of $Z$: when $kge 1$ ( so that $zge 0$ ) and when $kge 1-z$ ( so that $z<0$ ). You have written the sum for the first case. Combining both cases you would get the final answer as given.
– StubbornAtom
Nov 19 '18 at 9:00




Note that $z$ belongs to the set of all integers. There are two cases to consider when finding the distribution of $Z$: when $kge 1$ ( so that $zge 0$ ) and when $kge 1-z$ ( so that $z<0$ ). You have written the sum for the first case. Combining both cases you would get the final answer as given.
– StubbornAtom
Nov 19 '18 at 9:00










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Suppose $z ge 0$,begin{align}sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1} &= p^2sum_{k=1}^infty (1-p)^{z+2k-2} \
&=p^2(1-p)^z sum_{k=1}^infty ((1-p)^2)^{k-1}\
&=frac{p^2(1-p)^z}{1-(1-p)^2}\
&=frac{p^2(1-p)^z}{(2-p)p}\
&=frac{p(1-p)^z}{2-p}end{align}






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    1 Answer
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    Suppose $z ge 0$,begin{align}sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1} &= p^2sum_{k=1}^infty (1-p)^{z+2k-2} \
    &=p^2(1-p)^z sum_{k=1}^infty ((1-p)^2)^{k-1}\
    &=frac{p^2(1-p)^z}{1-(1-p)^2}\
    &=frac{p^2(1-p)^z}{(2-p)p}\
    &=frac{p(1-p)^z}{2-p}end{align}






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      Suppose $z ge 0$,begin{align}sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1} &= p^2sum_{k=1}^infty (1-p)^{z+2k-2} \
      &=p^2(1-p)^z sum_{k=1}^infty ((1-p)^2)^{k-1}\
      &=frac{p^2(1-p)^z}{1-(1-p)^2}\
      &=frac{p^2(1-p)^z}{(2-p)p}\
      &=frac{p(1-p)^z}{2-p}end{align}






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        Suppose $z ge 0$,begin{align}sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1} &= p^2sum_{k=1}^infty (1-p)^{z+2k-2} \
        &=p^2(1-p)^z sum_{k=1}^infty ((1-p)^2)^{k-1}\
        &=frac{p^2(1-p)^z}{1-(1-p)^2}\
        &=frac{p^2(1-p)^z}{(2-p)p}\
        &=frac{p(1-p)^z}{2-p}end{align}






        share|cite|improve this answer












        Suppose $z ge 0$,begin{align}sum_{k=1}^infty p(1-p)^{k-1} p(1-p)^{z+k-1} &= p^2sum_{k=1}^infty (1-p)^{z+2k-2} \
        &=p^2(1-p)^z sum_{k=1}^infty ((1-p)^2)^{k-1}\
        &=frac{p^2(1-p)^z}{1-(1-p)^2}\
        &=frac{p^2(1-p)^z}{(2-p)p}\
        &=frac{p(1-p)^z}{2-p}end{align}







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        answered Nov 19 '18 at 4:59









        Siong Thye Goh

        99.3k1464117




        99.3k1464117






























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