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Moment Generating Function

The moment generating function (MGF) of a random variable X is defined as E(e^tx) and denoted by M_X(t). The MGF can be used to determine moments of distributions by taking derivatives of M_X(t) and evaluating at t=0. For example, the first moment μ is obtained by taking the first derivative and the second central moment σ^2 is obtained from the second derivative. If X and Y are random variables with the same MGF, then X and Y have the same probability distribution. The MGF of the sum of independent random variables is the product of their individual MGFs.

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Rajesh Dwivedi
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1K views10 pages

Moment Generating Function

The moment generating function (MGF) of a random variable X is defined as E(e^tx) and denoted by M_X(t). The MGF can be used to determine moments of distributions by taking derivatives of M_X(t) and evaluating at t=0. For example, the first moment μ is obtained by taking the first derivative and the second central moment σ^2 is obtained from the second derivative. If X and Y are random variables with the same MGF, then X and Y have the same probability distribution. The MGF of the sum of independent random variables is the product of their individual MGFs.

Uploaded by

Rajesh Dwivedi
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd

Moment Generating Function

Moments and Moment-Generating Functions


Moment
The r th moment about the origin of the random variable X is
given by



= and
2
= E[X
2
]-{E[X]}
2
=


2
The purpose of moment-generating function is
To determine moments of distributions
To establish distributions of functions of random variables
= = ' ) (
r
r
X E

x
r
x f x ) (
}


dx x f x
r
) (
if X is discrete.
if X is continuous.
1

'

'
2


Moments and Moment-Generating Functions
Moment generating Function
The moment-generating function (MGF) of the random
variable X is given by E(e
tX
) and denoted by M
x
(t). Hence



How to get moments from MGF
Let X be random variable with MGF M
x
(t). Then

= = ) ( ) (
tx
X
e E t M

x
tx
x f e ) (
}


dx x f e
tx
) (
0
) (
=
=
'
t
r
x
r
r
dt
t M d

(a) If X is a discrete r.v., the



.
(b) If X is a continuous r.v., then

.

) x ( p e ) t ( M
x
x t
X

=
dx ) x ( f e ) t ( M
x t
X


=
Example (Poisson distribution) X~ Poisson ()
- MGF of X:
Moments and Moment-Generating Functions
) 1 (
0 0
!
) (
!
] [ ) (

= = = =

t
e
x
x t
x
x
tx tX
X
e
x
e
e
x
e
e e E t M




= = = =
=

=
0
) 1 (
0
'
1
) (
] [
t
e t
t
X
t
e e
dt
t dM
X E
) 1 ( ) 1 (
) (
] [
0
0
2
2
2 '
2


+ = + = = =
=
+
=
t
e t t
t
X
t
e e
dt
t M d
X E
= + = =
2 2 2
) 1 ( ] [ ] [ ] [ X E X E X Var
Moments and Moment-Generating Functions
Related Theorems about MGF
For two random variables X, Y , if = for all value t, then
X and Y have the same probability density.



X
1
,X
2
,X
3
, . . . X
n
are independent random variables and
Y = X
1
+X
2
+X
3
+ + X
n
, then
Example (Sum of two independent Poisson rvs)
X
1
~Poisson(
1
) X
2
~ Poisson(
2
) and they are independent.
Let Y= X
1
+ X
2.
Distribution of Y ?

) (t M
x
) (t M
y
) ( ) ( t M e t M
X
at
a X
=
+
) ( ) ( bt M t M
X bX
=
) ( ) ( ) ( ) (
2 1
t M t M t M t M
n
X X X Y
=
MGF uniquely determines
the distribution.
) ( ) ( bt M e t M
X
at
a bX
=
+
) 1 )( ( ) 1 ( ) 1 (
2 1 2 1
2 1
) ( ) ( ) (
+
= = =
t t t
e e e
X X Y
e e e t M t M t M


Moments and Moment-Generating Functions
Linear Combination of Normal r.v.s
If X
1
,X
2
,X
3
, . . . X
n
are independent r.v.s having normal
dists with means
1
,
2
,
3
, . . .
n
and variances
respectively, then

r.v. has normal distribution
with mean
and variance

2 2
3
2
2
2
1
, , , ,
n
o o o o
2 2 2
2
2
2
2
1
2
1
2
n n Y
a a a o o o o + + + =
n n Y
a a a + + + =
2 2 1 1
n n
X a X a X a Y + + + =
2 2 1 1
.
2 /
2 2
) (
t t
X
i i
i
e t M
o +
=
> Note
Binomial Distribution
Example: Let X be a discrete r.v.
with pmf
.


n ,..., 2 , 1 , 0 x , ) p 1 ( p ) x ( p
x n x n
x
= =

= =

=
x n x n
x
n
0 x
tx
X
) p 1 ( p e ) t ( M , Then
( )
n t x n x t n
x
n
x
p pe p p e ) 1 ( ) 1 ( ) (
0
+ = =

=

Exponential Distribution
Let X be a r.v. with density
fX(x) = e- x , x>0,
) t (
dx e
dx e e ) t ( M
t) - x( -
0
x -
0
x t
X

= =
= =

MGF of Sums of Independent R.V.s



Let Xi, I=1, 2, , n be independent r.v.s with moment-ge
nerating functions (mgf) ,
then
.
=
=

=
n
1 i
X
X
) t ( M ) t ( M
i
n
1 i
i

Moment Generating Function
Moments and Moment-Generating Functions • Moment The r th moment about the origin of the random variable X is
Moments and Moment-Generating Functions •How to get moments from MGF • Moment generating Function • The moment-
(a) If X is a discrete r.v., the . (b) If X is a continuous r.v., then . ) x ( p e )t( M x x t X    dx ) x
Example (Poisson distribution) X~ Poisson () - MGF of X: Moments and Moment-Generating Functions ) 1 ( 0 0 ! ) ( ! ] [
Moments and Moment-Generating Functions • Related Theorems about MGF – For two random variables X, Y , if =
Moments and Moment-Generating Functions • Linear Combination of Normal r.v.s If X1 ,X2 ,X3 , . . . Xn are ind
Binomial Distribution Example: Let X be a discrete r.v. with pmf .  n ,..., 2,1,0 x , ) p 1( p )x ( p x n x n x 
Exponential Distribution Let X be a r.v. with density fX(x) =  e- x , x>0, )t ( dx e dx e e )t( M
MGF of Sums of Independent R.V.’s Let Xi, I=1, 2, …, n be independent r.v.’s with moment-ge nerating functions (mgf) ,

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