Proof of the PDF Projection Theorem

**Proof:**

We show now that is a member of .

**Proof:**
Let be drawn from the PDF
and let
.
We now show that the PDF of is indeed
.
We prove this by showing that the moment generating function
(MGF) of is equal to the MGF corresponding to
.
Let
be the joint moment generating function (MGF)
of . By definition,

Another proof of the PPT is available [76].

Baggenstoss 2017-05-19