Robbins lemma

In statistics, the Robbins lemma, named after Herbert Robbins, states that if X is a random variable having a Poisson distribution with parameter λ, and f is any function for which the expected value E(f(X)) exists, then^[1]

\operatorname{E}(X f(X - 1)) = \lambda \operatorname{E}(f(X)). \,

Robbins introduced this proposition while developing empirical Bayes methods.

References

↑ Samaniego, Francisco J. (2015), Stochastic Modeling and Mathematical Statistics: A Text for Statisticians and Quantitative Scientists, CRC Press, p. 118, ISBN 9781466560475 .

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