Math 2274 Lecture 22 Generating functions (continued)

Consider an exponential form of a generating function with sequence ( ), i.e. g(t) =

=0 ! .

Moment Generating Functions (mgfs) See pg. 125, Lecture notes.

X can be either a discrete OR a continuous random variable, unlike pgfs.

If X is reasonably well behaved, the moments of X can be used to determine the
distribution of X. (Recall: rth. Moment of X, r = E(Xr), r = 1, 2, 3,...
The distribution is determined by constructing a generating function of exponential form
using these moments of X.

() =
=0 , .
!
Note: 0 = 1.
() ( ) Show this! See pg. 126, Lecture notes.

Definition 1: Let X be a random variable with pf or pdf f. Then the mgf of X is defined to be

() ( ),

for all values of t for which the expectation is well- defined.

Example: Suppose that X ~ Bernoulli(p), 0<p<1. Find the mgf of X.

Theorem 1: Let X be a random variable with mgf . Then,

E(Xr) = r = (0),

where () denotes the rth. derivative of t.

Proof: See pg. 127, Lecture notes.

Theorem 2: (Shift Theorem). Let X be a random variable with mgf . Then, the mgf of aX + b is
().

Proof: See pg. 127, Lecture notes.

If the mgf of a r.v. is known, its distribution can be determined.

Theorem 3: (The Uniqueness Theorem). Let X1 and X2 be random variables with mgfs 1 and 2
respectively. Then, if 1(t) and 2(t) exist and are equal for all t in an interval about 0, the
distributions of X1 and X2 are the same.

See example 5.7, pg. 128 Lecture notes.

Theorem 4: Let X1 and X2 be random variables with mgfs 1 and 2 respectively. Then, if X1
and X2 are independent, the mgf of X1 + X2 is

() = 1 (). 2 ().

Proof: See pg. 129, Lecture notes.

Corollary 1: Let X1, X2,..., Xn be independent random variables with mgfs 1 and 2
respectively. Then the mgf of of the sum X = =1 of the random variables is the product of
the mgfs of the

() = =1 ().

See Lecture notes for other Theorems and examples.

Note: Proof of Central Limit Theorem (using mgfs) pgs 141 142 Lecture Notes.