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Moment Generating Function Guide

The moment generating function (MGF) of a random variable X, denoted MX(t), is defined as E[etX] where t is a real variable. The MGF incorporates all the moments of X into its power series expansion. The nth derivative of the MGF evaluated at t=0 gives the nth central moment or moment of X. If X and Y are independent random variables, the MGF of their sum is the product of their individual MGFs. The MGF can be used to find the mean and variance of a random variable if its MGF is known.

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36 views2 pages

Moment Generating Function Guide

The moment generating function (MGF) of a random variable X, denoted MX(t), is defined as E[etX] where t is a real variable. The MGF incorporates all the moments of X into its power series expansion. The nth derivative of the MGF evaluated at t=0 gives the nth central moment or moment of X. If X and Y are independent random variables, the MGF of their sum is the product of their individual MGFs. The MGF can be used to find the mean and variance of a random variable if its MGF is known.

Uploaded by

Kavi Sanjai
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Moment generating function(M.G.F.

Definition:
Moment generating function of a random variable , denoted by
is defined as where is a real variable.

∫
{ }
Properties of Moment Generating Function:

[ ]

coefficient of In the expansion of in series of powers of

[ ]

If the moment generating function of is and if then

If are independent random variable and then

Example: 1
If X represents the outcome, when a fair die is tossed, find the moment generating
function of and hence find
Solution:

∑ ∑ [ ]

[ ] [ ]

[ ] [ ]

[ ]
Example: 2
If a random variable has the moment generating function obtain the mean

and variance of
Solution:

[ ] [ ( )] ( )

[ ( )] [ ]

[ ]

Example: 3
( )
If a random variable has the moment generating function mean
and variance.
Solution:

( ) ( )
[ ] [ ( )] [ ]

( ) ( )
[ ( )] [ { }]

( ) ( )
[ ]

[ ]

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