6.436J/15.085J
Lecture 14
Fall 2008
10/27/2008
Contents
1. Moment generating functions
2. Sum of a random number of random variables
3. Transforms associated with joint distributions
1.1 Denition
Denition 1. The moment generating function associated with a random
variable X is a function MX : R [0, ] dened by
MX (s) = E[esX ].
The domain DX of MX is dened as the set DX = {s | MX (s) < }.
If X is a discrete random variable, with PMF pX , then
MX (s) =
esx pX (x).
x
(1)
which is nite for every s R. On the other hand, for the Cauchy distribution,
fX (x) = 1/((1 + x2 )), for all x, it is easily seen that MX (s) = , for all
0.
s=
In general, DX is an interval (possibly innite or semi-innite) that contains
zero.
Exercise 1. Suppose that MX (s) < for some s > 0. Show that MX (t) < for all
t [0, s]. Similarly, suppose that MX (s) < for some s < 0. Show that MX (t) <
for all t [s, 0].
dMX (s)
d
= E[esX ]
= E[XesX ]
= E[X],
ds
s=0 ds
s=0
s=0
dm MX (s)
dm
sX
m sX
=
E[e
]
=
E[X
e
= E[X m ]
dsm
dsm
s=0
s=0
s=0
Thus, knowledge of the transform MX allows for an easy calculation of the
moments of a random variable X.
Justifying the interchange of the expectation and the differentiation does
require some work. The steps are outlined in the following exercise. For sim
plicity, we restrict to the case of nonnegative random variables.
Exercise 3. Suppose that X is a nonnegative random variable and that MX (s) <
for all s (, a], where a is a positive number.
(a) Show that E[X k ] < , for every k.
(b) Show that E[X k esX ] < , for every s < a.
(c) Show that (ehX 1)/h XehX .
(d) Use the DCT to argue that
ehX 1
E[ehX ] 1
E[X] = E lim
= lim
.
h0
h0
h
h
sm pX (m),
m=1
resulting in
dm
g
(s)
= m! pX (m).
X
dsm
s=0
(The interchange of the summation and the differentiation needs justication,
but is indeed legitimate for small s.) Thus, we can use gX to easily recover the
PMF pX , when X is a positive integer random variable.
4
1.6 Examples
d
sx x
MX (s) =
e e
dx =
0
s ,
s < ;
otherwise.
Example : X = Ge(p)
MX (s) =
sm
p(1 p)
m1
es p
1(1p)es ,
m=1
=
exp(
)dx
2
2
= exp(s2 /2).
1.7 Properties of moment generating functions
We record some useful properties of moment generating functions.
Theorem 2.
(a) If Y = aX + b, then MY (s) = esb MX (as).
(b) If X and Y are independent, then MX+Y (s) = MX (s)MY (s).
(c) Let X and Y be independent random variables. Let Z be equal to X, with
probability p, and equal to Y , with probability 1 p. Then,
MZ (s) = pMX (s) + (1 p)MY (s).
Proof: For part (a), we have
MX (aX + b) = E[exp(saX + sb)] = exp(sb)E[exp(saX)] = exp(sb)MX (as).
5
For part (c), by conditioning on the random choice between X and Y , we have
1
MX+Y (s) = exp( s(1 + 2 ) + s2 (12 + 22 ) .
2
d
implying that
MY (s) =
n=1
The reader is encouraged to take the derivative of the above expression, and
evaluate it at s = 0, to recover the formula E[Y ] = E[N ]E[X].
Example : Suppose that each Xi is exponentially distributed, with parameter , and
that N is geometrically distributed, with parameter p (0, 1). We nd that
MY (s) =
elog MX (s) p
p/( s)
p
=
=
log
M
(s)
X
1 (1 p)/( s)
p s
1e
(1 p)
If two random variables X and Y are described by some joint distribution (e.g.,
a joint PDF), then each one is associated with a transform MX (s) or MY (s).
These are the transforms of the marginal distributions and do not convey infor
mation on the dependence between the two random variables. Such information
is contained in a multivariate transform, which we now dene.
Consider n random variables X1 , . . . , Xn related to the same experiment.
Let s1 , . . . , sn be real parameters. The associated multivariate transform is a
function of these n parameters and is dened by
Example :
(a) Consider two random variables X and Y . Their joint transform is
MX,Y (s, t) = E[esX etY ] = E[esX+tY ] = MZ (1),
where Z = sX+tY . Thus, calculating a multivariate transform essentially amounts
to calculating the univariate transform associated with a single random variable that
is a linear combination of the original random variables.
(b) If X and Y are independent, then MX,Y (s, t) = MX (s)MY (t).
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