Rademacher Distribution

Chucky Chung

1
1. PMF

1
f (x) = , x = −1, 1
2

2. Sum to 1.

∑
f (x) = f (1) + f (−1) = 1
x∈Sx

3. Expected value

E[X]

∑
= xf (x)
x∈Sx

−1 1
= (−1) × f (−1) + 1 × f (1) = + =0
2 2

4. Variance

V ar(x)

∑
= (x − µ)2 f (x)
x∈Sx

= (−1 − µ)2 f (−1) + (1 − µ)2 f (1)

1
= ((−1 − µ)2 + (1 − µ)2 )
2

1
= (2 + 2µ2 ) = 1 + µ2 = 1
2

2
5. MGF

M (t)

∑
= etx f (x)
x∈Sx

1
= et(−1) f (−1) + et f (1) = (e−t + et ) = cosh(t)
2