Scribd Logo
Upload

Welcome to Scribd!

  • PT4 MomentGeneratingFunction CG

    Uploaded by

    Vishnu Bhanderi
    4 views5 pages

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    4 views5 pages

    PT4 MomentGeneratingFunction CG

    Uploaded by

    Vishnu Bhanderi

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
    Flag for inappropriate content
    of 5
    2.21 Moment Generating Function Definition 2.25 The moment generating function of a random variable X, denoted by M(t) is defined by M,(t) = Ele*] = De*P(X =x) when X is a discrete random variable, and M(t) = Ele" i ef (ode (¢ is an independent variable) when X is a continuous random variable. The moment generating function of X is also denoted by M(t). The moment generating function may exist but the moments may not exist. 2.22 Properties of Moment Generating Function Theorem 2.8 If.a,¢ are constants and X is a random variable, then ( Mesle] = M, et] Gi) Mee Proof _ (i) By definition, we have Max(t] = Ele] = Ele M,(ct) Gi M)=E [ec] E [ef ‘ ] ears [e)] -tm(! Theorem 2.9 If Mx(t] and M,[t] are the moment generating functions of the independent random, variables X and Y, then Mxy(t] = Mx(t)My{A) | i.e., the moment generating function of the sum of two independent random variables is equl to the product of their respective moment generating functions. | Proof Mxsyit]=E [2%] | =EleX) =k leXe) = Ele Ele") = MxllMyle] Hence, proved. Theorem 2.10 If X is a random variable, then es Poof a Mel at Hab bb + ta jas ri where 4, (r= 1,2,3,....) are the moments about the origin. Proof M,{t) = Ele*| 22 pe , = Eli tery ! [ 3 baud Sidowaee 2 =E(1) +E (tx) +E (=) ae ()++2(S)s ! 7 2 = 14180) + TEP) + EO) ey i = From the definition, we have E|(x—A)'| =), where A is an arbitrary number. Putting A = 0, we get E[x’] = pf, E(x) =H B?) = 1h, Ee) =, Substituting in (1), we get ta My{t)=V+uit teh ap ta bay tHsg tetas te Example 1 The probability density function of the random variable X has the following proba- bility law a1. ls4,-. Px) = 36¢ press Find the m.g.f of X. Hence find E(X) and Var[X] Solution The moment generating function of X is Mglt] = Elé"1= feqettla ‘ z at feel® Df gxell ect Illa 35 | *s*lax fi “ ere la ema =)? Dae 435 [ee (ax elt ax+ Fa ae eth)" als ty Eee 20 20 =e9[1-76] =e*[14+76?+..] 22 = (1404574 : ) (14+0%?+...) 3622 = (14045...) a 14, = Coefficient of k in (1) = 1, = Coefficient of in (1) = 362 Hence, pp = — (u,)” = 30? — 6? = 26? E(X) = mean = 8, Var[X] = 20? Example 2 Find the moment generating function of a random variable X having the density function fQ)=5, O

    You might also like