ThmDex – An index of mathematical definitions, results, and conjectures.
Formulation 0
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3357: Identically distributed random collection
(ii) \begin{equation} \mathbb{E} |X_1|^2 < \infty \end{equation}
(iii) $N \in \text{Poisson}(\theta)$ is a D2854: Poisson random natural number
(iv) $N, X_1, X_2, X_3, \ldots$ is an D2713: Independent random collection
Then \begin{equation} \text{Var} \left( \sum_{n = 1}^N X_n \right) = \theta \mathbb{E} X^2_1 \end{equation}
Proofs
Proof 0
Let $X_1, X_2, X_3, \ldots \in \text{Random}(\mathbb{R})$ each be a D3161: Random real number such that
(i) $X_1, X_2, X_3, \ldots$ is an D3357: Identically distributed random collection
(ii) \begin{equation} \mathbb{E} |X_1|^2 < \infty \end{equation}
(iii) $N \in \text{Poisson}(\theta)$ is a D2854: Poisson random natural number
(iv) $N, X_1, X_2, X_3, \ldots$ is an D2713: Independent random collection
Since $\mathbb{E} N = \text{Var} N = \theta$ and since \begin{equation} \text{Var} X_1 + (\mathbb{E} X_1)^2 = \mathbb{E} X^2_1 \end{equation} then this result is a special case of R5423: Wald's second equation under independence. $\square$