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Q177Section III (Statistics)177 of 190

Covariance between a Poisson process value and an independent random time

Let {X(t),t≥0}\{X(t),t\ge0\} be a time-homogeneous Poisson process with rate λ\lambda. Let T be a positive continuous r.v. distributed independently of {X(t),t≥0}\{X(t),t\ge0\}. Then:

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