MGF of Normal Distribution:

Assignment by:
Naga Varshini M 2020017022

Normal Distribution function:

Continuous Random variables are used in situations when we deal with quantities that are measured
on a continuous scale, like the speed of a car.
Definition: If X is a continuous random variable, then the pdf is given by
1
f (x) = , -∞< x <∞
σ √❑

Derivation:
Let X be a normal variate. Then MGF (about origin) is given by
∞
M x (t) = E (e tx) = ∫ etx f ( x ) dx
−∞

1
=
σ √❑
X−μ
Let z= x= μ+σz
σ
dx=σ dz
∞
1
M x (t) = ∫ et (μ +σz) e¿ ¿¿ ¿
σ √❑ −∞

μt ∞
e z−σt
¿ ∫ e¿¿ ¿ ¿
σ √❑ −∞
Let
√❑
=y

∞
e μt
= ∫ e¿¿ ¿ ¿
σ √ ❑ −∞
dz = (dy) √ ❑

σ²t ² ∞ σ²t ²
μt + μt +
∫e
2
=e
2
dy √❑= e
− y²
dy
σ √❑ −∞ √❑

{ }
σ ²t ² ∞
=e
μt +
2 √ ❑ ∴2∫ e− y ² dy= √❑
❑ o
 σ ²t²
=e μt + 2

References:

Textbook on Probability, Statistics and Random Processes, P.Kousalya, Pearson Publication,

ISBN 9788131774526