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Unit 5

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20 views17 pages

Unit 5

Uploaded by

awuahemmanuel210
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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PROBABILITY AND STATISTICS: STAT 166

By
Dr. Samuel Asante Gyamerah

Department of Statistics and Actuarial Science


KNUST

MOMENT GENERATING FUNCTIONS

January 24, 2023

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MOMENT GENERATING FUNCTIONS

Moment Generating Functions


The Moment Generating Function(MGF) is a function that
generates moments. It is defind as follows.

Mathematical Definition
The Moment Generating Function(MGF) of a random variable
X, denoted by MX (t), is defined by
MX (t) = E(etX ) =

(P
∞
etx f (x) if X is discrete
MX (t) = E(etX ) = R ∞x=0 tx
−∞ e f (x)dx if X is continuous

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MGF

Example
A discrete random variable Y has probability mass function
given by  
12
P (Y = y) = (0.6)y (0.4)12−y , y = 0, 1, ..., 12.
y
Find the moment generating function of Y

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MGF

Solution

MY (t) = E(etY )
12  
ty 12
X
= e (0.6)y (0.4)12−y
y
y=0
12  
X 12
= (0.6et )y (0.4)12−y
y
y=0

Recognizing the sum as a binomial expansion of (0.6et + 0.4)12 ,


we obtain
MY (t) = (0.6et + 0.4)12

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MGF

Example
A continuous random variable Y has a p.d.f given by
(
4e−4y , y > 0
f (y) =
0 elsewhere
Find the moment generating function if Y

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MGF

Solution
Z ∞
tY
MY (t) = E(e ) = ety f (y)dy
−∞
Z ∞
ty −4y
= e 4e dy
0
Z ∞
= 4e−4y+ty dy
0
Z ∞
= 4e−(4−t)y dy
0
" #∞
e−(4−t)y 4
= −4 = ,t < 4
4−t 4−t
0

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MGF

Example
A random variable Y has a moment generating function,
MY (t) = (0.6et + 0.4)12 . Find the E(Y ) and V ar(Y )

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MGF

Solution

MY (t) = (0.6et + 0.4)12


MY0 (t) = 12(0.6et + 0.4)11 (0.6et )
E(Y ) = MY0 (0) = 12(0.6e0 + 0.4)11 (0.60 )
= 7.2
MY00 (t) = 12 × 11(0.6et + 0.4)10 (0.6et )2
+12(0.6et + 0.4)11 (0.6et )
E(Y 2 ) = MY00 (0) = 12 × 11 × 0.62 + 12 × 0.6
= 54.72
V ar(Y ) = E(Y 2 ) − (E(Y ))2 = 54.72 − 7.22
= 2.88

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MGF

Example
A continuous random variable Y has moment generating
function given by

MY (t) = 3(3 − t)−1


Find the E(Y ) and V ar(Y ).

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MGF

Solution

MY (t) = 3(3 − t)−1


MY0 (t) = 3(3 − t)−2
MY00 (t) = 6(3 − t)−3
1
E(Y ) = MY0 (0) = 3(3)−2 =
3
2
E(Y 2 ) = MY00 (0) = 6(3)−3 =
9
V ar(Y ) = E(Y 2 ) − (E(Y ))2
 2
2 1
= −
9 3
1
=
9

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Theorem
A moment generating function always exists at t = 0 and equals
to 1.

Proof
MX (0) = E(e0X ) = E(1) = 1

Theorem
Let X be a random variable with moment generating function
MX (t). If Y = aX, where a is a constant, then
MY (t) = MX (at)

Proof
MY (t) = E(etY ) = E(etaX ) = E(e(at)X ) = MX (at)

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Example
4
Given that X has the moment generating function, MX (t) = 4−t
for t < 4, find the moment generating function of Y = 2X

Solution

4
MX (t) =
4−t
MY (t) = M2X (t) = MX (2t)
4
= ,t < 2
4 − (2t)

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Theorem
If Y = a + bX, and MX (t) exists, then MY (t) = eat MX (bt)

Proof

MY (t) = E(et(a+bX) ) = E(eat ebtX ) = eat E(ebtX ) = eat MX (bt)

Example
Given that X has the moment generating function,
4
MX (t) = 4−t for t < 4, find the moment generating function of
Y = 4 + 3X

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Solution

4
MX (t) =
4−t
MY (t) = M4+3X (t) = e4t MX (3t)
 
4t 4 4
= e ,t <
4 − (3t) 3

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The Uniqueness theorem
Corresponding to each moment generating function M (t), there
is a unique distribution function having that M (t) as moment
generating function.

Independence
Let X1 , X2 , ...Xn be independent random variables with
moment generating functions MXi (t)(i = 1, 2, ..., n). If
Y = X1 + X2 + ... + Xn , then MY (t) = MX1 (t)MX2 (t)...MXn (t).

Example
The random variables X and Y are independent with respective
moment generating functions MX (t) = (pet + q)n and
MY (t) = (pet + q)m , where p + q = 1. Find the moment
generating function of X + Y

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Solution
Since X and Y are independent,

MX+Y (t) = MX (t)MY (t)


= (pet + q)n (pet + q)m
= (pet + q)n+m

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MGF

TRY
Find the moment generating function for the following
distributions
Bernoulli
Geometric
Poisson
Exponential

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