Quote:
Originally Posted by svend
Here's my take on Problem 1.9, part(b), which is following the same lines as the description of MaciekLeks above.
We have:
Since is monotonically increasing in t.
Also, is non negative for all t, implying Markov inequality holds:
The last line being true since [math]x_n[\math] are independent.
From there it directly follows that

I just think you should note that there are two expectations, one is based on e^su_n, while other is based on u_n. Of course, you can refer the law of unconscious statisticians to prove that both are same.