題組內容
2. (35%) Let \( X_i, i = 1, ..., n \), be an exponential random sample with the probability density function \[ f(x; \lambda) = \lambda \exp(-\lambda x), x \geq 0; \lambda > 0. \] Let the distribution function of \( f(x; \lambda) \) be denoted as \( F(x; \lambda) \). Also, let \( X_{(i)}, i = 1, 2, ..., n \), denote the order statistics of \( X_i, i = 1, 2, ..., n \), where \( X_{(1)} \leq X_{(2)} \leq \cdots \leq X_{(n)} \). The detailed derivation has to be provided for all the following problem. No point is given when only answers are given.
(a) (10%) Suppose the sample size \( N \) follows a Poisson distribution with parameter \( \mu \), where \( \mu>0 \). Given \( N = n > 0 \), let \( S_n = X_1 + \cdots + X_n \) and \( S_0 = 0 \). Find the marginal distribution of \( S_n \). [Hint: \( P[S_n = 0|N = 0] = P[N = 0]. \)]