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functions
Definition
Let X denote a random variable with probability
density function f(x) if continuous (probability mass
function p(x) if discrete)
Then
mX(t) = the moment generating function of X
E etX
etx f x dx if X is continuous
e p x
tx
if X is discrete
Properties
1. mX(0) = 1
2. mXk 0 k th derivative of mX t at t 0.
k E X
k E X
3.
x f x dx
x p x
k
X continuous
X discrete
k k
2 2 3 3
mX t 1 1t t t L t L .
2!
3!
k!
mX t E etX
tx
e
f x dx
where
1 x
x e
f x
x0
x0
e f x dx
mX t E e
tX
tx
1 x
e
x e dx
0
1 t x
x e
dx
0
tx
using
or
b a a 1 bx
0 a x e dx 1
a
a 1 bx
0 x e dx ba
then
1 t x
mX t
x e
dx
mX t E etX
where
tx
e
f x dx
1
f x
e
2
x2
thus
mX t
tx
1
e
2
x2
dx
1
e
2
x2
tx
2
dx
We will use
mX t
t2
2
1
e
2
1
e
2 b
1
e
2
x2
tx
2
x 2 2 tx
1
e
2
2
xa
2 b2
dx 1
dx
dx
x 2 2 tx t 2
t2
2
e dx e
t2
2
1
e
2
2
x t
dx
Note:
2
3
4
x
x
x
e x 1 x L
2! 3! 4!
2
t t
t2
2
2 2
t
2
mX t e 1
L
2
2!
3!
2
2m
t
t
t
t
1 2 3 L m L
2 2 2! 2 3!
2 m!
Also
2 2 3 3
mX t 1 1t t t L
2!
3!
Note:
2
3
4
x
x
x
e x 1 x L
2! 3! 4!
2
t t
t2
2
2 2
t
2
mX t e 1
L
2
2!
3!
2
Also
2m
t
t
t
t
1 2 3 L m L
2 2 2! 2 3!
2 m!
2 2 3 3
mX t 1 1t t t L
2! 3!
k k th moment
x k f x dx
k 0 if k is odd and
2 m
1
for k 2m then m
2 m ! 2m !
hence 1 0, 2 1, 3 0, 4 3
Example
Suppose that X has a normal distribution with
mean and standard deviation .
Find the distribution of Y = aX + b
Solution:
2t 2
t
mX t e 2
2
2 at
maX b t e mX at e e
bt
bt
at
2 a 2t 2
a b t
2
X 1
Z
X
aX b
1
Z a b
0
2
1
2
2 2
Z a 2 1
Thus Z has a standard normal distribution .
Example
Suppose that X and Y are independent each having a
normal distribution with means X and Y , standard
deviations X and Y
Find the distribution of S = X + Y
Solution:
mX t e
mY t e
X2 t 2
X t
2
Y2 t 2
Y t
2
Now
mX Y t mX t mY t e
X2 t 2
X t
2
Y2 t 2
Y t
2
or
m X Y t e
X X
2
X
Y2 t 2
2
Example
Suppose that X and Y are independent each having a
normal distribution with means X and Y , standard
deviations X and Y
Find the distribution of L = aX + bY
Solution:
mX t e
X t
X2 t 2
mY t e
Now
Y2 t 2
Y t
2
X2 at
X at
2
Y2 bt
Y bt
2
or
t
2
maX bY t e
a X b X
2
X
b 2 Y2 t 2
2
Special Case:
a = +1 and b = -1.
Thus Y = X - Y has a normal distribution
with mean X - Y and variance
X 1 Y X Y
2
Solution:
mX i t e
Now
i2t 2
i t
2
(for i = 1, 2, , n)
12 a1t
1 a1t
2
L e
n2 an t
n an t
2
or
ma1 X1 L an X n t e
a11 ... an n
2 2
2 2
1 1 ... an n
Special case:
1
a1 a2 L an
n
1 2 L n
12 12 L 12 2
In this case X1, X2, , Xn is a sample from a
normal distribution with mean , and standard
deviations and
1
L X1 X 2 L X n
n
Thus
Y x a1 x1 ... an xn
n x
x1 ... 1
2
...
n
1
1
2
n
n
n
2
n
Summary
If x1, x2, , xn is a sample from a normal
distribution with mean , and standard
deviations then x the sample mean
has a normal distribution with mean
x
and variance
n
2
x
standard deviation x
n
Sampling distribution
of x
Population
x
and variance
n
2
x
standard deviation x
n
x1 x2 L xn S n
now x
n
n
t
t
or mx t m 1 t mSn m
Sn
n
n
n
x
n
n
Let z
then mz t e
and ln mz t
nt
mx
nt
m
t
n
t n ln m
t
t2
Let u
or n
and n 2 2
u
u
n
t
Then ln mz t
t
n
t n ln m
n
t 2
t2
2 2 2 ln m u
u u
t 2 ln m u u
2
u2
Now lim ln mz t
n
lim ln
u 0
mz t
ln m u u
t2
2 lim
u 0
u2
t2
2 lim
u 0
m u
m u
2u
m u m u m u
2
t
2 lim
u 0
m u
2
using L'Hopital's ru
m u m u m u
m u
t
2 lim
u 0
t m 0 m 0
2
t E x E xi
2
2
2
2
i
thus lim ln mz t
n
t2
2
2
and lim mz t e
n
2
t2
2
Now m t e
t2
2
1
e
2
u2
du
Q.E.D.