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4.1 Introduction
So far we have considered in detail only the two most important
characteristics of a random variable, namely, the mean and the variance.
We have seen how these attributes enter into the fundamental limit
theorems of probability, as well as into all sorts of practical calculations. We
have seen that the mean and variance of a random variable contain
important information about the random variable, or, more precisely, about
the distribution function of that variable. Now we shall see that the mean and
variance do not contain all the available information about the density
function of a random variable. Now we will discuss about moment
generating function (mgf). These are very powerful computational tool. They
make certain computations much shorter. In this unit, we'll first learn what a
moment-generating function is, and then we'll learn how to use moment
generating functions.
to find moments and functions of moments, such as and 2
to identify which probability mass function a random variable X follows
Objectives:
At the end of this unit the student should be able :
To learn the definition of a moment-generating function.
To learn how to use a moment-generating function to find the mean and
variance of a random variable.
To learn how to use a moment-generating function to identify which
probability mass function a random variable X follows.
To be able to apply the methods learned in the lesson to new problems.
Let X be a discrete random variable and let be its p.m.f . Then the
Example: The pdf for the score X of a randomly selected student is given
below
X 1 2 3 4 5
f(X) 0.15 0.20 0.40 0.15 0.10
= +
Example : Let N denotes the number of flips of a coin until a tail appears
= + +.
= + +.
of X.
SAQ 5: If X represents the outcome when a fair die is tossed. Find the MGF
of X and hence find E(X) and Var(X)
(4.1)
Note: We can also calculate rth moment about origin by differentiating (4.1)
with respect to t, r times and then putting t = 0, we get
Hence,
Example: Calculate the first three moments about origin with the help of
mgf of probability density function .
= (4.2)
Now, to find the first, second and third moments about origin we will
differentiating (4.2) once, twice and thrice with respect to t at t = 0
That is,
Variance = = =
and V(X).
x
1
f ( x) e 2 , x 0
SAQ 7: Let the random variable X have the p.d.f 2
0 otherwise
Find moment generating function, mean and variance
4.2.2 Properties of Moment generating function
Let X be a random variable then
, where c is constant.
L.H.S. =
R.H.S. =
Proof:
4.3 Cumulants
Let X be a random variable. Then cumulant of X is denoted by and is
Thus,
= (4.3)
=( ) - 3( )
Or
2. The rth cumulant of the sum of the independent random variables is equal
to the sum of the rth cumulants of the individual variables.
That is ,
Thus, except the first cumulant, all other cumulants are independent of
change of origin. But they are not invariant of change of scale as the rth
cumulant of U is times the rth cumulant of the random variable X.
Note:
1. Characteristic function always exists. There may be some cases
when the m.g.f does not exists.
=
Where , is the rth moment of X about origin.
Thus,
= because
=
Hence is an even function of t.
Proof: By definition,
=
=
=
Thus,
8. c being constant
9. If are independent random variables, then
= where
=
0,
Derive the characteristic function of X.
=
=
=
=
Example: Use the characteristic function from the above example to derive
the variance of X.
Solution: We know Var(X) = E(X2)- E(X)2
The expected value of X is computed by taking first derivative of
=
Now, evaluating at t = 0 and dividing it by i, we get
=
=1
The second moment of X is computed by taking the second derivative of the
characteristic function. That is
=
At t = 0 and dividing it by , we get
=
= 5/3
4.5 Summary
In this unit, we studied the concept of moment generating function and
technique of finding moments from moment generating function. Also we
studied about the cumulates and characteristics function of random
variables with examples.
(i) Find the value of A (ii) Mean of X(iii) Variance of X(iv) Moment about
origin (vi) Moment about mean.
3
5. If a random variable X has the MGF , Obtain the standard deviation
3t
of X.
6. Find the characteristics of X with pdf
1
f ( x) , a x b and x
ba
4.7 Answers
Self Assessment question
1. By definition of m.g.f.,
2. By definition,
1 t
3. M X (t ) 2
(e 1) 2
t
4. Var(X)=1/4
1 t
5. MGF= (e ..... e 6t ) , E(X)=7/2 and Var(X)=35/12.
6
6. The moment generating function of X is
For
E(X) = = Coefficient of t in
1
7. M X (t ) , E(X)=2 and Var(X)=4.
1 2t
1
8. CF=
1 2
2 2
9. CF= , E ( X ) 0 and Var ( X )
2 2
2
i
10. CF= e (1e ) .
Terminal Questions:
2. Variance =
4. A=1, Mean =1, Variance =1 and moments about origin 1,2,6,24: and
about mean 1,1,2,9.
5. S.D.=1/3
e ib e ia
6. CF=
i (b a)