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Econ: MATHEMATICAL STATISTICS, 1996

The Moment Generating Function of the Binomial Distribution Consider the binomial function (1) b(x; n, p) = n! px q n−x x!(n − x)! with q = 1 − p.

**Then the moment generating function is given by
**

n

Mx (t) = (2)

x=0 n

ext

n! px q n−x x!(n − x)! n! q n−x x!(n − x)!

=

x=0

(pet )x

= (q + pet )n , where the ﬁnal equality is understood by recognising that it represents the expansion of binomial. If we diﬀerentiate the moment generating function with respect to t using the function-of-a-function rule, then we get dMx (t) = n(q + pet )n−1 pet dt = npet (q + pet )n−1 .

(3)

Evaluating this at t = 0 gives (4) E (x) = np(q + p)n−1 = np.

Notice that this result is already familiar and that we have obtained it previously by somewhat simpler means. To ﬁnd the second moment, we use the product rule (5) to get d2 Mx (t) = npet (n − 1)(q + pet )n−2 pet + (q + pet )n−1 npet dt2 = npet (q + pet )n−2 (n − 1)pet + (q + pet ) = npet (q + pet )n−2 q + npet . 1 dv du duv =u +v dx dx dx

(6)

= u ( p qe + q pe ) + v dt2 dt 2 . we have pursed a method which is more laborious than it need by. = np(q + np) − n2 p2 = npq. The moment generating function about the mean is then Mx−µ (t) = e−npt (q + pet )n (11) = (qe−pt + pet e−pt )n = (qe−pt + peqt )n .MSc. as it should. Theorems Concerning Moment Generating Functions In ﬁnding the variance of the binomial distribution. (9) The function which generates moments about the mean of a random variable is given by Mx−µ (t) = exp{−µt}Mx (t) where Mx (t) is the function which generates moments about the origin. we see that V (x) = E (x2 ) − E (x) (8) 2 E (x2 ) = np(q + p)n−2 (q + np) = np(q + np). This result is understood by considering the following identity: (10) Mx−µ (t) = E exp{(x − µ)t} = e−µt E (ext ) = exp{−µt}Mx (t). this has the value of zero. The following theorem shows how to generate the moments about an arbitrary datum which we may take to be the mean of the distribution. Diﬀerentiating this once gives (12) dMx−µ (t) = n(qe−pt + peqt )n−1 (−pqe−pt + qpeqt ). Econ: MATHEMATICAL STATISTICS: BRIEF NOTES. For an example. Diﬀerentiating a second time according to the product rule gives (13) d2 Mx−µ (t) du 2 −pt 2 qt . 1996 Evaluating this at t = 0 gives (7) From this. dt At t = 0. consider once more the binomial function.

It follows that (15) V (x) = n(p2 q + q 2 p) = npq (p + q ) = npq. y )dydx ext f (x)dx x y (17) = eyt f (y )dy = Mx (t)My (t). This result is a consequence of the fact that the independence of x and y implies that their joint probability density function is the product of their individual marginal probability density functions: f (x. From this. Econ: MATHEMATICAL STATISTICS. it follows that Mx+y (t) = x y e(x+y)t f (x. as we know from a previous derivation. At t = 0 these become u(0) = n and v (0) = 0. Another important theorem concerns the moment generating function of a sum of independent random variables: (16) If x ∼ f (x) and y ∼ f (y ) be two independently distributed random variables with moment generating functions Mx (t) and My (t). y ) = f (x)f (y ). then their sum z = x + y has the moment generating function Mz (t) = Mx (t)My (t). 1996 where u(t) = n(qe−pt + peqt ) (14) and v (t) = (−pqe−pt + qpeqt ). 3 .MSc.

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