Moment Generating Function

(mgf)

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Moments and moment generating functions
 The parameters µ and σ are meaningful numerical descriptive measures.
 They do not, however, provide a unique characterization of the
distribution of Y .
 Many different distributions possess the same means and standard
deviations.
 There a set of numerical descriptive measures that (at least under certain
conditions) uniquely determine p(y).
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Mean and Variance

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Skewness and kurtosis

Both distributions have a mean of 0.6923 and standard deviation of

0.1685, but the skewness of the first is −0.5370 and the skewness of
the second is +0.5370.

kurtosis = 1.8 kurtosis = 3 kurtosis = 4.2

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 Definition of m.g.f

• The moment-generating function m(t) for a random variable Y is

defined to be

• The moment generating function for a discrete random variable is

defined as

𝑚𝑌 ( 𝑡 ) =𝐸 ( 𝑒 ) =∑ 𝑒 𝑝 ( 𝑦 )
𝑡𝑌 𝑡𝑦

𝑦
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Applications (or importance) of mgf:

1. Characterizes the prob. dist. of Y (it is unique for the probability

Distribution).

2. If we can find E(etY ), we can find any of the moments for Y .

3. The kth moment of a random variable Y taken about the origin is

defined to be E(Yk ) and is denoted by mk .
2 3 𝑘
𝐸 (𝑌 ), 𝐸(𝑌 ),𝐸 (𝑌 ),...,𝐸 (𝑌 )
 Derivation of moments from mgf
• If𝑚𝑌 (𝑡 )exists, then for any positive integer k,

dmY t 
E Y  
dt t 0
d 2 mY t 
 
E Y2 
dt 2 t 0
d 3 mY t 
 
E Y3 
dt 3 t 0
etc.....
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Finding the expectation (mean) and the variance from mgf:

dmY t 
E Y   m1   
dt t 0
d 2 mY t 
V Y     2

dt 2 t 0

Remember that

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 Example 1
Let Y be a random variable with p(y) given in the following
table. Find the mgf and use it to calculate E(Y) and V(Y)
p(y) y
0.4 1
0.3 2
0.2 3
0.1 4

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 p(y) y
0.4 1
0.3 2
0.2 3
0.1 4

 mY t   0.4e t  0.3e 2t  0.2e 3t  0.1e 4t

 E Y   0.4e t  0.6e 2t  0.6e 3t  0.4e 4t 2

t 0

 
E Y 2  0.4e t  1.2e 2t  1.8e 3t  1.6e 4t
t 0
5
 V Y   5  2 2  1
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 Example 2

 1  t  2  2 t  3  3t
Let mY t    e   e   e
6 6 6

Find E Y , V Y  and p y 

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  1  t  2  2 t  3  3t
mY t    e   e   e
6 6 6
 1  t  2  2t  3  3t 1  4  9 14
 E Y    e   e  2   e  3  
6 6 6 t 0
6 6
1  8  27 36
   1  t  4  2t  9  3t
E Y   e   e  2   e  3 
2
 6
6 6 6 t 0
6 6
2
 14  5
 V Y   6    
6 9
p(y) y
1/6 1
2/6 2
3/6 3
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