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The kth moment of a random variable X is given by E[Xk]. The kth central moment of a random variable X is given by E[(X-E[X])k]. The moment generating function of X is given by: (9)

If X is non-negative, we can define its Laplace transform: (10)

Taking the power series expansion of

yields: (11)

Taking the expectation yields: (12)

We can then find the kth moment of X by taking the kth derivative of the moment generating function and setting . (13)

For the Laplace transform, the moments can be found using: (14)

integer-valued. we can define the z-transform: .Example: (15) = = = (16) (17) (18) = (19) (20) (21) (22) For X non-negative. and discrete.

then exists. Let Y = X1+X2. and: (26) . Let exists for all i. Find the distribution of Y.(23) The first and second moments can be found as follows: (24) (25) A property of transforms. known as the convolution theorem is stated as follows: Let be mutually independent random variables. The Laplace transforms for X1 and X2 are: (27) (28) . If Example: Let X1 and X2 be independent exponentially distributed random variables with parameters and respectively.

By the convolution theorem: (29) Expanding this into partial fractions: (30) where: (31) (32) Taking the inverse Laplace transform yields: (33) .

we'll first learn what a moment-generating function is.. As you have already experienced in some cases. called moment-generating functions can sometimes make finding the mean and variance of a random variable simpler. To be able to apply the methods learned in the lesson to new problems. To understand the steps involved in each of the proofs in the lesson.. What is an MGF? Definition. Then: .f.g. E(X3). and then we'll earn how to use moment generating functions (abbreviated "m. E(X2). Special functions. are sometimes difficult to find. In this lesson. such as μ and σ2 to identify which probability mass function a random variable X follows Objectives • • • • • • To learn the definition of a moment-generating function.Lesson 10: Moment Generating Functions Introduction The expected values E(X). To learn how to use a moment-generating function to find the mean and variance of a random variable. To learn how to use a moment-generating function to identify which probability mass function a random variable X follows.. To find the moment-generating function of a binomial random variable. . and E(Xr) are called moments."): • • to find moments and functions of moments. Let X be a discrete random variable with probability mass function f(x) and support S. the mean: μ = E(X) and the variance: σ2 = Var(X) = E(X2) − μ2 which are functions of moments.

tada!. generate moments! Lectures on Probability..f.") of X if there is a positive number h such that the above summation exists and is finite for −h < t < h. Definition_ Let be a random variable. we can use it to. then we say that possesses a moment generating function and the function defined by:is called the moment generating function (or mgf) of . with . That is.Definition We start this lecture by giving a definition of moment generating function. Moments of a random variable Moment generating function . Example What is the moment generating function of a binomial random variable X? Once we find the moment generating function of a random variable.. Moment generating function .g. Statistics and Econometrics Home > Additional topics in probability theory Moment generating function of a random variable Prerequisites and complementary topics: Random variables and univariate probability distributions. M(t) is the moment generating function ("m. Its support is the set of positive real numbers:and its probability density function is: ...Example The following example shows how the moment generating function of an exponential random variable is calculated: Example_ Let be an exponential random variable with parameter . If the expected value:exists and is finite for all real numbers belonging to a closed interval .is the moment generating function of X as long as the summation is finite for some interval of t around 0. Expected value.

so that possesses a moment generating function: Deriving moments with the mgf The moment generating function takes its name by the fact that it can be used to derive the moments of . evaluated at the point . under appropriate conditions one can differentiate through the expected value. as follows: which. P. Furthermore: where is the -th derivative of with respect to . because a lot of analytical details must be taken care of (see e. Pfeiffer.Its moment generating function is computed as follows: Note that the above integral is finite for for any . Proving the above proposition is quite complicated. the moment generating function of an exponential random variable is:The expected value of can be computed by taking the . is straightforward: since the expected value is a linear operator and differentiation is a linear operation.g. however. as stated in the following proposition: Proposition_ If a random variable possesses a moment generating function . (1978) Concepts of probability theory. Courier Dover Publications). yields: Example_ Continuing the example above. for any . then. The intuition. E. the -th moment of (denote it by ) exists and is finite.

. it is much easier to prove equality of the moment generating functions than to prove equality of the distribution functions. the random variable possesses a moment generating function and: Proof Moment generating function of a sum of mutually independent random variables Let . While proving this proposition is beyond the scope of this introductory exposition. Denote by and their distribution functions and by and their moment generating functions. be mutually independent random variables. the moment generating function of is the product of the moment generating functions of ..e.. and have the same distribution (i. for any ) if and only if they have the same moment generating functions (i.e.More details Moment generating function of a linear transformation Let be a random variable possessing a moment generating function . Then. Also note that equality of the distribution functions can be replaced in the proposition above by equality of the probability mass functions (if and are discrete random variables) or by equality of the probability density functions (if and are absolutely continuous random variables). . Define:where are two constants and .. :This is easily proved using the definition of moment generating function and the properties of ..first derivative of the moment generating function:and evaluating it at : The second moment of can be computed by taking the second derivative of the moment generating function: and evaluating it at : And so on for the higher moments. for any ). Let be their sum:Then.. . Moment generating function . Characterization of a distribution via the mgf The most important property of the moment generating function is the following: Proposition (Equality of distributions)_ Let and be two random variables. it must be stressed that this proposition is extremely important and relevant from a practical viewpoint: in many cases where we need to prove that two distributions are equal.

mutually independent variables ( mutual independence via expectations): Moment generating function . mgf. . mgf of a sum.Keywords Main keywords found in this lecture: moment generating function. moment generating function of a sum.

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