MGF CHF

The moment generating function (m.g.f.) of a random variable X is denoted by Mx (t) and is defined as Mx(t)=E(e™), tER wherever this expectation exists. For discrete random variable For continuous random variable, My(t) = Yerre@ Mx(t) = * tx f(x) dx Where p(x) is the probability Where f (x) is the probability mass function (p.m.f.) density function (p.d.f.) —— ay As its name implies, the m.g.f. can be used to compute a distributions moments: othe némoment about O is then‘! derivative of the moment-generating function, evaluated at 0. s However 1 all random variables have moment-generating functions.lee Example: Let X have the probability mass function 61 f@ = fesse’ x= 1, 0; otherwise Find the moment generating function of X. Solution: By definition, we have Mx(t) = E(e™) tx ox Here, the series > is divergent x1 (not convergent) by D’Alembert's Ratio Test for every. t > 0. Hence, the m.g.f. of X DOES NOT EXIST.— Example: Find the m.g.f of the Poisson distribution. Does My (t) exist for all values of t? Solution: The p.m.f. of the Poisson distribution with parameter 2 is -Agx p(x) = nO Thus, m.g.f. of it is eae S tx 2 OA Mx(t) = I eta)y* x! 5x = 0,1,2,... Thus, My (t) = e7Aa-e') which exist for all values e 2 yn Because, e* =) — and n=o n! is convergent for alLx.ee For any positive integer r, we denote H, = E(X") 1" Method 2" method: r da H, = Coefficient of Sin the series expansion Br = a (Mx) att=0 ” r of Mx(t) For more details, Mean = E(X) My(t) = E(e'*) 2 =E ome Ede ore =eli+ix tex + Variance = E(X?) — [E(X)]? t? =1+0t8(X) + FO) Ft ccs 2 Hltintting‘ie Example: Find the m.g.f of the Poisson distribution and hence fina its mean and Variance) Does My (t) exist for all values of t? WwFind Mean and Variance: Mx(t) = e7Ala-e') a ‘ =, ee BQ) = 5 [eR] MEH 0, y2yaata = eAlti-eVQet) Therefore, = Mean = E(X) E(X2) = Gale te) =lA” = fet“ 208] Variance = E(X?) — [E(X)]* =A+2-2 = eAlt-e') (get) + e~AG-e) get)? =A Noo Example: Find the m.g.f of the < distribution and hence find its mean and VariON Example: Find the m.g.f. for the geometric distribution and find its Solution: The p.m.f. of the geometric distribution is p@) =p 5 x= 12)... Thus, m.g.f. is given as My(t) = E(e"*) Yeap mean and variance.(8 Characteristi Example: A perfect coin is tossed twice. Find the m.a.t. of the umber of heads. Hence, find the mean andvarionce, Solution: The p.m.f, of X, (the number of heads) is The m.g.f. ic x 0 1 2 Mx(t) = E(e) P(x) % % ‘% 2 Gee Gee vBinesiol _1+2e' +e n mci (pe +4) i 4 2 = (bee uy 7 — ¢ SS atest ys a sane EYee a E(X) = qi z EO?) = my) Lge + 2e74) Mean and variance: Att = 0, we have BQ)=1; Y gx?) =3/2iene Example: Find the m.g.f. for the distribution where a fixe = 1 f@) oe 0 ; otherwise Solution: Since X Is a discrete random variable with points | and 2 only. EW). ewe £ The m.g.f. is My(t) = De" f(x) -<@-e@ 2et + et 3 3,Example: The m.g.t. of a random variable X Is glven by My(t) = e3(¢*-1), Find P(X = 1). Solution: Since, the given m.g.f. can be rewritten as Mg(t) = e-30-#*) Thus, by comparing It with m.g.f. of Polsson distribution, My(t) = e-AG-et) SNS Therefore, by Poisson distribution weget, 229 hallExample: Find the m.g.f. for the exponential density function and hence calculate the me and variance. Solution: The p.d.f. for the exponential distribution Is _fae*; x20 f @=ff ; otherwise By definition, we have e-A-ox\” =2 My(t) = E(e™) (S - 5), | Je" dx =a(o+ 1 ) Provided 2—t > 0 fo A-t be, t > > Be etb_eta (b-a)t Mx(t) = Thus, EQ) = = MeO $term . containing "t' EX?) = + term. containing "t" SmoExample: (Laplace distribution) If X has the probability density function F(x) = $e“, —co < x < 00, Find the mean and variance of X. Solution: The p.d.f of the Laplace distribution is *; x>0 Z 5e f@= 47 zen x<0et = ={ eter ax | e™ =e dx 00 2 0 2 1/° 1” =3] e(ttx dx+3f ef DF dx co 0 tfettDe\® 4 /el(t-D\? =3(saz)_ *2(T7), 1 2 Providedt +1 >0 and t-1<0 ie,¢>—landt<1 ie, -1 ef é - a ap" sr Yee (« = 1) er xer © = (pet) > ¢ 7 i @er er = (pety” > € +r- 1) (aety* r-1 kao roth =pre' Properties of the ‘Sum of a negative binomial series G-or=y hen) n-1 = Wet 1 gety Provided qe] <1 => t Ele 02) Ef -ab : -e é if (¢ ) = Bh 2 ele ) - 2°, mH) : "lk G sy]Example: If the m.g.f. of X is given by My (t) = za + e*)?, then find the mg.f. of Y = Solution: Since ma.f. of X is 1 My) = 7 + et)? Thus, by using the property, Therefore, at Mx-a(t) = e7 2M, s=4(0) = e77 My (5) ¢ Mx-o(t) = 7 My (). : we getExample: If the mast. of X is given by. My(t) = >-(e% — 1)? , then find the mgt. of ¥ = = Solution: Since m.g.f. of X is My(t) = ze -1)? Thus, by using the property, aa : Mszo(t) = e7* My(;), we getExample: If the m.g.f. of X is given by My (t) = = , [t] <1, then find the mg.f. of Y = Solution: Since mast. of X is My(t) == Therefore, Thus, by using the property, ot t Mx-a(t) = e7% My (=), 2 ) x (i) we get] Uniqueness theorem of M.G.F. The moment generating function of a distribution, if it exists, snipialy erect: the distribution. This means that corresponding to a given probability distribution, there is only one m.g.f. (if it exists) and corresponding to a given m.g.f., there is only one probability distribution. Hence, My(t) = My(t) => X &Y are identically distributed. 7 r Lv + ae¥ ot i wy laefec Le fol Characteristic function 2 ip fae = 4 The characteristic function of a random variable X is denoted by y(t) and is defined as P24 x(t) =E(e"), tER lox) < J For discrete random variable $x) = Yep) For continuous random variable, éx(0 { if “ety ay} fl 4 Where (1x) is the probability density function (p.d.f.) * Where p(x) is the probability mass function (p.m.f.)For any positive integer 1, we denote Hy = E(X") 1" Method 1a" B= apr (bx) aee=0 y(t) = ee) 242 2" method: =e [rent as . . Pe Hy = Coefficient of the series =1 + EQ) +P EO) ++ expansion of y(t) : =1 +g em Gewy eel: inte caer Tne ges bution and hence find its mean and Variance, Solution: Meiowy Example: Find the characteristic function of the Binomial distribution and hence find its mean and Variance. Solution: m= aesw Example: Find the characteristic function for the geometric distribution and find Its mean and variance, Solution: The punt. of the geometric distribution ts PQ) =a" tps x= 12, ee ‘Thus, characterictic function Is given as x(t) = E(e**)w rane: hpertet xin i tossed ie Find he characteris fntion othe BBE Wa) Hence, find the mean and variance. a Ibs . Con —> Hite . e) Ly wtih Dist Bimorniat_ Qn ws s vu 3 Wwe. Ce2)s) Vase i b SSww Example: A perfect coin is tossed twice. Find the characteristic function of the lumber OF heads. Hence, find the mean and variance. Solution: The p.m.t. of X, (the number of heads) is = 0 = pa) %& Ta ) The characteristic function is ede | = (et + 202)] $x = E(e*) 2 = Lel*p(x) 1 1 =09(;) +e" ()+e*"( \ 4, 2, Mean = we it 4 o2te sitet’ Variance = E(X2) — [EOD 1 2wy Example: If characteristic function of a random variable X is given as a 4 leit 41,31 Ox =Z4 Fe te Find P(X < 1). ‘Solution: By definition of characteristic function ox) = E(e*) 1.1 1 Titles ¥ ot aptzel tie x p(x) 7d S Gt get + ze = pl) + eltp(t) + ep) + On comparing, we get PO=2 : p=F + pey=o: P@=% + pa) =P6)=w Example: Find the characteristic function 2 si ox=l 3 for the distribution f@=s7 1 3 x=2 w 0 ; otherwise Solution: Since X is a discrete random variable with points | and Z only. The characteristic function is Ox) = Le f(x) “QoQ 2elt + eit 3 xProperty I: The characteristic function y(t) Is bounded 9) Ihe, 1x(O) S 1 for all ¢ Proof: Let X is a continuous random variable. By definition of characteristic function, we have losf0l = |E(e™)| J e!™ F(x) dx| *» < [roa s fiesaiax ” <1 because f(x) Is a pdf. Hence, < J elf (x) dx lox(t)| <1 forall t IAProperty I: The characteristic function q(t) Is bounded by I, Le., Iby(t)| < 1 for all ¢ Proof: Similarly, for discrete random variable, we get lox() = [E(e"*)] = Ir efx) = le reo =¥reo <1 because f(x) Isa p.mf.Remarks: The characteristic function dy (t) exists for all value of t. asProperty 2: For a characteristic function cby (t), we have by (0) = 1 Proof: By definition of by (t), we have x (0) = E(e*) = E(1) =lyaa Property 3: y(t) and by(—t) are conjugate functions, Le., y(t) = ox(-t) Proof: By definition of y(t), we have Ox = E(e"™*) x(t) = E(e'™*)Property 4: If a random variable X has a symmetrical distribution about the origin, Le., f(-x) = f(x) then y(t) Is a real-valued and an even function of . Proof: We prove this result only for the continuous case. (The discrete case can be solved similarly) ox) = pI | el* F(x) dx . e i ef(-y) dy For real-valued function, we have $x = dx(-O = xO =6 J e-"F(y) dy which shows that y(t) is real-valued. = ox(-t) ) Hence, Py is an even function of t.Property 5: If X, and X2 are independent random variable then $x,+x, 0 = x, 06x, Proof: By definition of characteristic function, we have Pxx0(0 = E(ett%+42)) = E(citXstit%2 ) 7 E(eit*eitXy Because, if X & Y are independent 7 E(e!*) Ee) random variables, then E(XY) = E(X)E(Y), while converse is not true = bx, Obx,0 iRemarks: a In general, if X;,i=1,2,...,n be an independent random variables, then Sayexpename(O =| [bx i=1 ie., characteristic function of the sum of the random variables is equal to the product of the characteristic function of the variables.Effect of Change of origin and scale Property 6: If we transform the variable X to a new variable Y by changing both the origin and the scale 7 _iat t inX,be,¥==then y(t) =e F by () Proof: By definition of characteristic function, we have y(t) = E(e”) it(x-a) ) itx =E(en “é x =e"NE (") =e dy (6)Result: dx is uniformly continuous in R. q Cicer) ecuProperty 7: If X is a random variable with characteristic function dy (t) and if. uw, = E(X"), : then = = My = apr hx at t= 0 Proof: We prove this result only for the continuous case. (The discrete case can be solved similarly) 1 i (in) O=— [CFe ax é 2a Je a Ui Oy Differentiating under the integral sign 7 times with respect to t, we get seo) = J (ixyel™f(x)dxUniqueness theorem of p(t). The characteristic function uniquely determines the distribution function. 7a In other words, if X & Y are any random variables, then ox® = by) & Fy = FyInversion Theorem Let X be a continuous random variable with the distribution function Fy, p.d.f., f (X) and characteristic function py (t), then p.d.f. f(x) can be expressed in terms of y(t) by wef k fray eso few Gyltat dx an _ =o

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