Sample Theory With Ques.-Moment Generating Function (MS UNIT-9)

IIT JAM
Mathematical Statistics (MS)
SAMPLE
Eduncle.com
Mpa 44, 2nd Floor, Above Bank Of India, Rangbari Main Road,
Toll Free: 1800-120-1021
Mahaveer Nagar 2nd, Near Amber Dairy, Kota, Rajasthan, 324005
Website: www.eduncle.com | Email: Info@Eduncle.com
Mathematical Statistics (Sample Theory)
1. MOMENTS
The rth moment of a random variable X about the mean , also called the rth central moment,
is defined as
r = E[(X – )r] ...(3)
where r = 0, 1, 2, ... It follows that 0 = 1, 1 = 0, and 2 = 2, i.e., the second central moment
or second moment about the mean is the variance. We have, assuming absolute convergence
r   (x   )r f(x) (discrete variable) ...(4)

r   (x   )r f(x) dx (continuous variable) ...(5)

The rth moment of X about the origin, also called the rth raw moment, is defined as
r  E(Xr ) ...(6)

where r = 0, 1, 2, ..., and in this case there are formulas analogous to (4) and (5) in which
 = 0.
The relationship between these moments is given by
r  r 
r  r    r 1  ...  ( 1) j   r  j j  ...  ( 1)r 0 r ...(7)
 1  j
As special cases we have, using 1’ =  and 0’ = 1.
2  2  2
3  3  32  23 ...(8)
4  4  43  622  3 4
2. MOMENT GENERATING FUNCTIONS
The moment generating function of X is defined by

MX(t) = E(etX) ...(9)
that is, assuming convergence,
MX (t)   e tx f(x) (discrete variable) ...(10)

MX (t)   eix f(x)dx (continuous variable) ...(11)

We can show that the Taylor series expansion is

t2 tr
MX (t)  1  t  2
 ...  r  ... ...(12)
2! r!
Since the coefficients in this expansion enable us to find the moments, the reason for the name
moment generating function is apparent. From the expansion we can show that
dr
r  MX (t)
dt r t 0
i.e., r’ is the rth derivative of Mx(t) evaluated at t = 0. Where no confusion can result, we often
write M(t) instead of Mx(t). ...(13)
Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 1

Some Theorems on Moment Generating Functions

Theorem.3.8 If Mx(t) is the moment generating function of the random variable X and a and b(b
 0) are constants, then the moment generating function of (X + a)/b is
t
M( X  a) / b (t)  eat / bMX   ...(14)
b
Theorem. 3.9 If X and Y are independent random variables having moment generating functions
MX(t) and MY(t), respectively, then
MX + Y(t) = MX(t) MY(t) ...(15)
Generalizations of Theorem to more than two independent random variables are easily made.
In words, the moment generating function of a sum of independent random variables is equal to the
product of their moment generating functions.
Theorem 3.10 (Uniqueness Theorem) Suppose that X and Y are random variables having
moment generating functions MX(t) and MY(t), respectively. Then X and Y have the same probability
distribution if and only if MX(t) = MY(t) identically.
3. CHARACTERISTIC FUNCTIONS
If we let t = i, where i is the imaginary unit, in the moment generating function we obtain an
important function called the characteristic function. We denote this by
X() = MX(i) = E(eiX) ...(16)
It follows that
 X ( )   eiX f(x) (discrete variable) ...(17)

 X ()   eiX f(x)dx (continuous variable) ...(18)

Since |eiX| = 1, the series and the integral always converge absolutely.
The corresponding results (12) and (13) become
2 r
 X ()  1  i  2  ...  ir r  ... ...(19)
2! r!
dr
where r  ( 1)r ir  X () ...(20)
dr  0
When no confusion can result, we often write () instead of X().

Theorems for characteristic functions corresponding to Theorem 3.8, 3.9 and 3.10 are as follows
Theorem. If X() is the characteristic function of the random variable X and a and b(b  0) are
constants, then the characteristic function of (X + a)/b is
 
( X a) / b ()  eai / b  x   ...(21)
b
Theorem. If X and Y are independent random variables having characteristic functions X() and
Y(), respectively, then
X+Y() = X() Y() ...(22)
More generally, the characteristic function of a sum of independent random variables is equal
to the product of their characteristic functions.

Theorem. (Uniqueness Theorem) Suppose that X and Y are random variables having
characteristic functions X() and Y(), respectively. Then X and Y have the same probability distribution
if and only if X() = Y() identically.
An important reason for introducing the characteristic function is that (18) represents the Fourier
transform of the density function f(x). From the theory of Fourier transforms, we can easily determine
the density function from the characteristic function. In fact,
1  ix
f(x)  e x ()d ...(23)
2 
which is often called an inversion formula, or inverse Fourier transform. In a similar manner we
can show in the discrete case that the probability function f(x) can be obtained from (17) by use of
Fourier series, which is the analog of the Fourier integral for the discrete case.
Another reason for using the characteristic function is that it always exists whereas the moment
generating function may not exist.
4. CHEBYSHEV’S INEQUALITY
An important theorem in probability and statistics that reveals a general property of discrete or
continuous random variables having finite mean and variance is known under the name of Chebyshev’s
inequality.
Theorem 3.18 (Chebyshev’s Inequality) Suppose that X is a random variable (discrete or
continuous) having mean  and variance 2, which are finite. Then if  is any positive number.
2
P(| X   |   )  ...(1)
2
or with  = k,
1
P(| X   |  k)  ...(2)
k2
Proof. Case (i) : X is a continuous r.v. By def.,
2 = x2 = E[X – E(X)]2 = E[X – ]2

2
=  (x  ) f(x) dx, where f(x) is p.d.f. of X.
k  k 
2
  (x   ) f(x)dx   (x   )2 f(x)dx   (x   )2 f(x)dx
 k  k
k 
  (x   )2 f(x)dx   (x   )2 f(x)dx ...(*)
  k
We know that :
x   – k and x   + k  |x – |  k ...(**)
Substituting in (*), we get
k 

 2  k 2 2   f(x) dx   f(x) dx 
   k 

= k2 2 [P(X   – k) + P (X   + k)] [From (**)]

= k2 2. P(| X –  |  k) [From (**)]
2
 P(| X –  |  k)  1/k , ...(***)
which establishes (6.73)
Also since
P{|X –  |  k } + P{|X – | < k} = 1, we get
P{|X –  | < k } = 1 – P {|X –  |  k }  1 – {1/k2} [From (***)]
Case (ii). In case of discrete random variable, the proof follows exactly similarly on replacing
integration by summation.
Remark. In particular, if we take k = c > 0, then (*) and (**) give respectively.
 2 2
P | x   |  c |  2 and P | X   |  c  1  2
 c c
Var(X) 
 P  X  E(X)  c 
c2 

Var(X)  ...(3)
and P  X  E(X)  c  
c 2 
Generalised Form of Bienayme-Chebychev’s Inequality. Let g(X) be a non-negative function
of a random variable X. Then for every k > 0.
we have
E{g(X)}
P{g(X)  k}  ...(1)
k
Proof. Here we shall prove the theorem for continuous random variable. The proof can be
adapted to the case of discrete random variable on replacing integration by summation over the given
range of the variable.
Let S be the set of all X where g(X) > k, i.e..,
S = {x : g(x)  k}
then  dF(x)  P(x  S)  P[g(X)  k],

S
...(*)
where F(x) is the distribution function of X.


Now E[g (X)] =  g(x) dF(x)   g(x) dF (x)

 S
 k. P[g (X)  k] [ on S, g(X)  k and using (*)]
E[g(x)]
 P[g(X)  k] 
k
Remarks.1 If we take g(X) = {X – E(X)}2 = {X – }2 and replace k by k22 in (1), we get
E(X   )2 2 1
P (x   )2  k 2  2 
  2 2
 2 2
 2
k  k  k
 P  x    k   1/ k 2 , ...(2)
which is Chebychev’s inequality.

2. Markov’s Inequality. Taking g(X) = |X| in (1) we get, for any k > 0
E| X |
P[| X |  k]  , ...(3)
k
which is Markov’s inequality.
Rather, taking g(X) = |X|r and replacing k by kr in (1), we get a more generalised form of Markov’s
inequality, viz.,
E| X |r
P[| X |r  k r ]  ...(4)
kr
3. If we assume the existence of only second-order moments of X, then we cannot do better than
Chebychev’s inequality . However, we can sometimes improve upon the results of Chebychev’s inequality
if we assume the existence of higher order moments. We give below (without proof) one such inequality
which assumes the existence of moments of 4th order.
Theorem 6.31a. E|X|4 < , E(X) = 0 and E(X2) = 2
 4  4
P{| X |  k}  ...(5)
 4   4k 4  2k 2  4
If X ~ U[0, 1], [c.f. Chapter 8], with p.d.f p(x) = 1, 0 < x < 1 and = 0, otherwise, then
E(Xr) = 1/(r + 1); (r = 1, 2, 3, 4)
E(X) = 1/2, E(X2) = 1/3, E(X3) = 1/4, E(X4) = 1/5 ...(*)
2 2
Var(X) = E(X ) – [E(X)] = 1/12
1 4
4 = E(X – )4 = E(X – ) = 1/80
2
Chebychev’s inequality with k = 2 gives:
 1 1  1
P X  2   1   0.75
 2 12  4
With k = 2, (5) gives :
1 1

 1 1  80 44 4
P X  2   
 2 12  1 1 1 49
 
80 9 8
 1 1  4 45
 P X  2   1  49  49  0.92,
 2 12 
which is a much better lower bound than the lower bound given by Chebychev’s inequality.
6.14. Convergence in probability. We shall now introduce a new concept of convergence, viz.,
convergence in probability or stochastic convergence which is defined as follows:
A sequence of random variables X1,X2,...,Xn,... is said to converge in probability to a constant a,
if for any  > 0,
lim P(| Xn  a |   )  1 ...(1)
n
or its equivalent
lim P(| Xn  a |   )  0 ...(2)
n

and we write
p
Xn  a as n   ...(3)
p
If there exists a random variable X such that Xn – X  a as n , then we say that the random
variable X.
Remark.1 If a sequence of constants an  a as n , then regarding the constant as a random
p
variable having a one-point distribution at that point, we can say that as an  a as n  .
2. Although the concept of convergence in probability is basically different from that of ordinary
convergence of sequence of numbers, it can be easily verified that the following simple rules hold for
convergence in probability as well.
If Xn p
 
and Yn p
 
as n  , then
(i) p
Xn  Yn     as n  
(ii) p
Xn Yn   as n  
Xn p 
(iii) as n  , provided   0.
Yn  
6.14.1. (Chebychev’s Theorem). As an immediate consequence of Chebychev’s inequality, we

have the following theorem and convergence in probability.
“If X1,X2,...,Xn is a sequence of random variables and if mean n and standard deviation n of
Xn exists for all n and if n  –as n  , then
p
Xn  n  0 as n  
Proof. We know, for any  > 0
n2
P  Xn  n     0 as n  
2
Here p
Xn  n  0 as n  
Example. 3.6 Letting k = 2 in Chebyshev’s inequality (59), we see that
P(|X – |  2)  0.25 or P|(X – | < 2)  0.75
In words, the probability of X differing from its mean by more than 2 standard deviations is less
than or equal to 0.25; equivalently, the probability that X will lie within 2 standard deviations of its mean
is greater than or equal to 0.75. This is quite remarkable in view of the fact that we have not even
specified the probability distribution of X.
Example. Roll a single fair die and let X be the outcome. Then, E(X) = 3.5 and var(X) = 35/12.
(Make sure you can compute this!) Suppose we want to compute p = P(X > 6).
(a) Exact: We easily see that p = P(X > 6) = P(X = 6) = 1/6  0.167.
(b) By Markov inequality, we get:
21/ 6
P(X  6)   0.583
6

(c) By the usual (two-sided) Chebyshev inequality, we can obtain a stronger bound on p:
35 / 12 7
P(X  6)  P(X  6 OR X  1)  P(| X  3.5 |  2.5)    0.467
(2.5)2 15
(d) By using the one-sided Chebyshev inequality, we can obtain an even stronger bound on
p:
35 /12 7
P(X  6)  P(X  3.5  2.5)  2
  0.318
(35 /12)  (2.5) 22
Example. A post office handles, on average, 10,000 letters a day. What can be said about the
probability that it will handle at least 15,000 letters tomorrow.
Solution. Let X be the number of letters handled tomorrow. Then E(X) = 10,000. Further, by
Markov’s inequality we get
E(X) 10,000 2
P(X  15,000)   
15,000 15,000 3
Example. Let X be uniform (0,1). Then for any a > 0 Chebyshev’s Inequality gives
 1  1
P  X   a   1  2
 2  a
whereas
 1   1   1 1
P  X   a   P  a  X   a   P  a   X  a  
 2   2   2 2
a1/ 2 2a a
 dx  2a   , 0a 3
 a1/ 2
12 3
a 1 a 1
One can show that  1 2 for any a > 0. Moreover, f(a) =
 2  1 attains its minimum
3 a 3 a
on (0, ) at a = 6
12 = 1.513... with
6
f  12  0.3103...

Example. Let X be the outcome of a roll of a die. We know that
E[X] = 21/6 = 3.5 and Var(X) = 35/12
Thus, by Markov,
E[X] 21/ 6
0.167  1/ 6  P(X  6)    21/ 36  0.583
6 6
Chebyshev gives
35 / 12
P(X  2 or X  5)  2 / 3  P(| X  3.5 |  1.5)   1.296
1.52

SAMPLE QUESTIONS
SECTION-(A) MULTIPLE CHOICE QUESTIONS (MCQ)
1. Let X be a uniform (0,1) random variable. Compute E(Xn)

(A) n + 1 (B) n – 1
1 1
(C) (D)
n 1 n 1
2. Compute E (X) if X has a density function given by
 1  2x
 xe x0
f (x) =  4
 0 otherwise

(A) 1 (B) 2
(C) 3 (D) 4
3. Compute E (X) if X has a density function given by
5
 x5
f (x) =  x 2
 0 x5
(A) 2 (B) 0
(C) 5 (D) None of the above
4. Let X be a discrete random variable with values x = 0,1,2, and probabilities P(X = 0) = 0.25,
P(X = 1) = 0.50, and P(X = 2) = 0.25, respectively. Find E(X).
(A) 1 (B) 0
(C) 4 (D) 8
5. Y is an exponential random variable with variance Var [Y] = 25. What is E[y2] ?
(A) 10 (B) 50
(C) 30 (D) 20
SECTION-(B) MULTIPLE SELECT TYPE QUESTIONS (MSP)
1. If the moments of a variate X are defined by E(X’) = 0.6, r = 1,2,3... then which of the following
holds?
(A) P(X = 0) = 0.4 (B) P(x = 1) = 0.6
(C) P(X  2) = 0. (D) P(X = 3) = 0.8
2. Let Fm (x) be the distribution function defined by Fm (x) = 0 for x  – n

x n
= for – n < x < n
2n
= 1 for x  n
then which of the following are true ?
(A) F(x) is not a distribution function (B) F(x) is distribution function
1
(C) Lim Fn (x) = 0.6 (D) Lim Fn (x) =
n  n  2
x
3. Let X have the pmf f(x) = , x = 1,2,.3 then which of the following are true?
6
(A) mean = 7/3 (B) variance = 5/9
(C) E(X) = 0.6 (D) E(X2) = 5
4. If X is a random variable and ‘a’ is constant, then which of the following holds?
 
(A) E   aX    aE   X   (B)  x.p (x) dx   x .p (x) dx  0

 
(C) E a  X    aE    X   (D) E   X   a   E    X    a
5. Which of the following holds ?

(A) If X  0 then E (X)  0
(B) Let X and Y be two random variables such that Y  X then E(Y)  E(x) C
(C) If X  0 then E(X)  0
(D) All of the above
SECTION-(C) NUMERICAL ANSWER TYPE QUESTIONS (NAT)
x
1. Let X have the pmf f(x) = , x = 1, 2, 3, 4. Find E(X)
10
2. Let X be a random variable with the following probability distribution :

x : –3 6 9
1 1 1
Pr (X = x) :
6 2 3
Find E (2X + 1)2
3. Find the expectation of the number on a die when thrown.
4. Two unbiased dice are thrown. Find the expected value of the sum of number of points on them.
5. In four tosses of a coin, let X be the number of heads. Tabulate the 16 possible outcomes with
the corresponding values of X. By simple counting, derive the distribution of X and hence
calculate the expected value of X.

ANSWER KEY

1 2 3 4 5
C D D A B
SECTION-(B) MULTIPLE SELECT QUESTIONS (MSQ)

1 2 3 4 5
A,B,C A,D A,B C,D A,B

1 2 3 4 5
3 209 3.5 7 2

SOLUTIONS
1. (C) By definition of expectation of a U (a, b) random variable, we know that

b 1
E (X) =  x dx
a ba
So in our case,
1 1 1
E (X) =  x dx   xdx
0 1 0 0
Using the definition of expectation, we find E (Xn) by simply replacing the stray x in the
integral by xn.
1
n
1  x n1  1
n
E (X ) = 0 x dx    
 n  1 0 n  1
2. (D) Recall that by definition,

b
E (X) =  xf(x)fx
a
Then for the PDF given in this problem,
  1   1  

E (X) =  x  xe 2  dx   x 2 e 2 dx
4 4 


x
First, let y – .
2
1
Then x – 2y and dx – 2dy. The 4 from x2 – (2y)2 – 4y2 cancels the in front of the integral,
4
and we must carry the 2 from dx outside the integral to get,
1  2  2 1  2 y

2 y
E (X) = 0 x e dx  0 (2y) e (2dy)  20 y e dy
4 4
Recall that when we have an integral fo the form h (x) =  (x) y (x) dx we use
integration bt parts. We choose values for a  and d. Then we compute dn and u and
substitute into h (x) = un –  d
Now use integration by parts, with  = y2 , d  e –y

so d = 2ydy,  –e –y. Then,

E(X) = 20 y 2 e  y dy
2 y y
= 2   y e   e (2y) dy 
2 y y
= 2   y e  2 ye dy 
integrate by parts again. Use:  = y, d = e–y thus d = dy,  = –e–y

2 y y y
= 2   y e  2  ye   e dy 
 
2 y y y
= 2   y e  2  ye  e   
= – 2 y2 e–y –4ye–y –4e–y

=  2e y  y 2  2y  2  
0
= xlim  2e  y y 2  2y  2    2e y y 2  2y  2 

   
      0
= The limit evaluates to an indeterminate form 0.  .
 1 2  y 2
= 2 xlim   y  2y  2     2e  y  2y  2   0
 ey
 

= The limit evaluates to so use l’ Hopital’s Rule.

2y  2
L ’ H 2 lim  2  e  y y 2  2y  2 
 
x  ey  0
2
L ‘ H 2 xlim  2  e  y y 2  2y  2 
 
 ey  0

0
= 4
 5
3. (D) E(X) =  x dx
5 x2
 5
=  dx
5 x
 1
= 5 5 dx
x

= 5 ln x 5
= 5 xlim

ln x  ln 5
  
 
4. (A) E(X) = x i0

1 P(X = x1) = 0 × 0.25 + 1 × 0.50 + 2 × 0.25 = 1

5. (B) We observe that an exponential PDFY with parameter  > 0 has PDF
ey y0
fy (y) =  (1)
 0 otherwise
In addition, the mean and variance of Y are

1 1
E [Y] = Var [Y] = 2 (2)
 
Since Var [Y] = 25, we must have   
The expected value of Y is E [Y] = 1/ = 5, so
E [Y2] = Var [Y] + (E[Y])2 = 50 (3)
SECTION-(B) MULTIPLE SELECT TYPE QUESTIONS (MSP)
1. (A,B,C)
The m.g.f of variate X is :

tr r 
tr
Mx (t) =  r  1  (0.6)
r 0 r! r 1 r !

tr
= 0.4 + 0.6  = 0.4 + 0.6 et ...(i)
r 0 r!

tx
But Mx (t) = E (e ) = tx e
r 0
P (X = x)

tx
= P(X = 0) + et . P(X = 1) + e
r 2
. P(X = x) ...(ii)
From (i) and (ii), we get :

P(X = 0) = 0.4 ; P(X = 1) = 0.6; P(X  2) = 0.
n 1
2. (A,D) n (t) =  eitx dx ( fn (x) = Fn ‘ (x))
n 2n
itx  itx
1  e  e   Sinnt
= 
it

nt
2n  
Sinnt
(t) Lim n (t) = Lim
n 
n  nt
1 if t  0
= 
0 if t  0
i.e., (t) is discontinuous at t = 0
1
and Lim Fn (x) =
n  2
Hence F(x) is not a distribution function.
x
x 7
3. (A,B) E(X) = x
x 1
1 f(x1)=  x  6   3
x
2 2  x  36
E(X ) =2 x
x 1
1 f(x1) = x  6  6  6
 
2
2 2 2 7 5 5
Variance   E(x )  (E(X))  6     and 
3 9 3
 
4. (C,D) (i) E a   X   =  a  (x). f(x) dx  a   (x) f (x) dx  a E [ (x)]

 
(ii) E   (x)  a      (x)  a f(x) dx


 
   (x) f(x) dx  a  f (x) dx
 
  
= E[(x)]   f (x) dx  1
 
  
5. (A,B) If X is a continuous random variable s.t.  0 then,
 
E(X) = x.p(x)dx  ( If , X  0, P (c) = 0 for x < 0)


 x.p(x)dx  0,

provided the expectations exists.

Hence (a) is true
Since Y  X, we have the r.v.
Y – X    X –Y 0
Hence E(X – Y)    E(X) – E(Y)  
 E(x)  E(Y)  E(Y)  E(X)
as desired. Hence (b) is true

x
 x 
1. 3 E(X) =  x f x 
x 1
i i =  x  10  = 3,
2. 209 E (X) =  x . p(x)

1 1 1 11
=  3   6 9 =
6 2 3 2
2
E (X2) =  x p x
1 1 1 93
= 9  36   81  =
6 2 3 2
E(2x + 1)2 = E [4X2 + 4X + 1] = 4E(X2) + 4E(X) + 1
93 11
= 4 4  1 = 209
2 2
3. 3.5 Let X be the random variable representing the number on a die when thrown. Then X
1
can take any one of the value 1, 2, 3, ...., 6 each with equal probability . Hence
6
1 1 1 1
E (X) =  1   2   3  ...   6
6 6 6 6
1
= (1 + 2 + 3 + ... + 6)
6
1 67 7
=  = = 3.5
6 2 2
4. 7 The probability function of X (the sum of number obtained on two dice), is
Value of X : x 2 3 4 5 6 7 ….. 11 12
Probability 1/36 2/36 3/36 4/36 5/36 6/36 ….. 2/36 1/36
E (X) = p xi
i i
1 2 3 4 5 6 5
= 2 3 4 5 6 7 8 9
36 36 36 36 36 36 36
4 3 2 1
  10   11   12 
36 36 36 36
1
= (2 + 6 + 12 + 20 + 30 + 42 + 40 + 36 + 30 + 22 + 12)
36
1
= × 252 = 7
36

5. 2 Let H represent a head, T a tail and X, the random variable denoting the number of
heads.
No. of Heads
S. No. Outcome
(X)
1 HHHH 4
2 HHHT 3
3 HHTH 3
4 HTHH 3
5 THHH 3
6 HHTT 2
7 HTTH 2
8 TTHH 2
9 HTHT 2
10 THTH 2
11 THHT 2
12 HTTT 1
13 THTT 1
14 TTHT 1
15 TTTH 1
16 TTTT 0
The random variable X- takes the value 0, 1, 2, 3, and 4. Since, from the above table,
we find that the number of cases favourable to the coming of 0,1, 2, 3 and 4 heads are
1, 4, 6, 4 and 1 respectively, we have :
1 1 6 3
P (X = 0) = , P (X = 1) = , P (X = 2) = =
16 4 16 8
4 1 1
P (X = 3) = = and P (X = 4) =
16 4 16
Thus the probability distribution of X can be summarised as follows :
x : 0 1 2 3 4
1 1 3 1 1
p (x) :
16 4 8 4 16
4
1 3 1 1
E (X) =  xp  x 
x 0
= 1
4
 2 3  4
8 4 16
1 3 3 1
=    = 2
4 4 4 4

Sample Theory With Ques.-Moment Generating Function (MS UNIT-9)

Uploaded by

Document Information

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Sample Theory With Ques.-Moment Generating Function (MS UNIT-9)

Uploaded by

Copyright:

Available Formats

IIT JAM

Mathematical Statistics (MS)

r   (x   )r f(x) (discrete variable) ...(4)

r  E(Xr ) ...(6)

3  3  32  23 ...(8)

4  4  43  622  3 4

2. MOMENT GENERATING FUNCTIONS

The moment generating function of X is defined by

MX (t)   e tx f(x) (discrete variable) ...(10)

We can show that the Taylor series expansion is

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 1

Some Theorems on Moment Generating Functions

 X ( )   eiX f(x) (discrete variable) ...(17)

When no confusion can result, we often write () instead of X().

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 2

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 3

= k2 2 [P(X   – k) + P (X   + k)] [From (**)]

then  dF(x)  P(x  S)  P[g(X)  k],

where F(x) is the distribution function of X.

Now E[g (X)] =  g(x) dF(x)   g(x) dF (x)

 k. P[g (X)  k] [ on S, g(X)  k and using (*)]

which is Chebychev’s inequality.

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 4

With k = 2, (5) gives :

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 5

6.14.1. (Chebychev’s Theorem). As an immediate consequence of Chebychev’s inequality, we

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 6

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 7

1. Let X be a uniform (0,1) random variable. Compute E(Xn)

2. Compute E (X) if X has a density function given by

3. Compute E (X) if X has a density function given by

SECTION-(B) MULTIPLE SELECT TYPE QUESTIONS (MSP)

2. Let Fm (x) be the distribution function defined by Fm (x) = 0 for x  – n

(A) E   aX    aE   X   (B)  x.p (x) dx   x .p (x) dx  0

(C) E a  X    aE    X   (D) E   X   a   E    X    a

5. Which of the following holds ?

SECTION-(C) NUMERICAL ANSWER TYPE QUESTIONS (NAT)

2. Let X be a random variable with the following probability distribution :

3. Find the expectation of the number on a die when thrown.

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 9

SECTION-(A) MULTIPLE CHOICE QUESTIONS (MCQ)

SECTION-(B) MULTIPLE SELECT QUESTIONS (MSQ)

SECTION-(C) NUMERICAL ANSWER TYPE QUESTIONS (NAT)

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 10

1. (C) By definition of expectation of a U (a, b) random variable, we know that

2. (D) Recall that by definition,

Then for the PDF given in this problem,

substitute into h (x) = un –  d

Now use integration by parts, with  = y2 , d  e –y

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 11

= xlim  2e  y y 2  2y  2    2e y y 2  2y  2 

4. (A) E(X) = x i0

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 12

In addition, the mean and variance of Y are

SECTION-(B) MULTIPLE SELECT TYPE QUESTIONS (MSP)

From (i) and (ii), we get :

4. (C,D) (i) E a   X   =  a  (x). f(x) dx  a   (x) f (x) dx  a E [ (x)]

(ii) E   (x)  a      (x)  a f(x) dx

5. (A,B) If X is a continuous random variable s.t.  0 then,

provided the expectations exists.

Contact Us : Website : www.eduncle.com | Email : support@eduncle.com | Call Toll Free : 1800-120-1021 14

SECTION-(C) NUMERICAL ANSWER TYPE QUESTIONS (NAT)

2. 209 E (X) =  x . p(x)