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4.7 Moment Generating Fun Technique

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35 views22 pages

4.7 Moment Generating Fun Technique

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Meee | ae Lh Te At The monmeuk- genorahing function Lehanique ' fal wotkematical sqital wethentical Exputahony I. freon: Lt x be avondont variable wittr polf Ox). The man () empestad Value 9X vi ditiincd to be H2EO) 2 Sx qtr) of xb clisorate (od * Heel) 2 ae dln) Am f X db Cowbinaao us 2. Varance : 7 HEX be a vandom Variable with PY fin) s mean He. TRe Votionee ax A” dafived to be. oF aber Slew ipa) if 1 2 deal a (2) ia | Pe Ebeats | mpttandn Y xa on No! 67 e(x2) -[E Og)" = EfeT-(o* 3, Morterrt frroraking fenchon! | Lt Lhe a Youdour vantalt wite ; PAL YO). Suppose chat thre 44 Oo tve Member & Aneh that for —hebch He wodhuncadical opertation (etx) enisfs. Thea ; Womurt generating fonction 9x 1s ditined to he MetOeE fe] 2 3 cay) 1 oH @ © MM LE) = efe™] S [oP dtd Tf xa combnuoiy -d YX diacrek ae ry ° EY mg] (mont geurvating fu) owt, We ad unique Omok iF commplibely dokermaines the dishibubten 71a Yaundonn vourable | ) ?-T] two vandona Vertabtes have aut m.9.4 4 Ruy howe the Rows, dactriboudion : Somat propertiex q che distribution from mgd" 3} mip (mgd ) emits for —he beh, thu derivaly, % al ordi emstr ak be0. For x 4 couk mous Hype 5 @ 1) AMD Mlb ( xe Yn ola At bee ia 4 > Mlo\= fm ptrod ek) on “0 Ww) anal 7 lt)» Pare yondnc ~o ae Mo) = Pat yoadn = Eft = ele, —@ : t i e Me bev vet iw uae eae m is te, fabega, M cari etiv taf Os Fal onde = [x™] ~e Fo Xa aseyel' oy. G) wits 3 x. et yen =) Mle): Snjind: £6.) Gi) na) 2s amet Yn) > Mo) > 3 x¥ym) 2EDe) Tw a daxlvekve - (0) = Zu fod = E(x). n Hewee Ef xM] merry... calle mont poset force, simee (4) qenveals Efx] | Koo Efcm] & colbd wt promunt 4 dushri buban@) \ uth mond g %- 4 ole * 1 Nuon, ae Wo) inten It owt 4X. a pg. woMouree 2 (x4) Ein) Tn this seafion, wo Use Moment forurating forrclra, teobniques to finding Hee distri buon, qa dunchion 7 Jeverah rondo varicbter . he Al, %5,. aS olnrol thu joint pa q nvandom, Warder X00, X30. Xa, “Hhuye vawolomr variables hay or WAH Vet be tha Observation Y% vendor Baul Pred nen drcetbickat ding has. a a pet fon). TEN Ke), ei, LEE fone, gly), TL pa 9H randonn Vantabt ¥,. Constcler Hu MoE FVD it emiek ip a given by = cfakhy. preg, MIDs Ele N= | ary, dy, te continuous Cue 0 Th Aces Heat we wack to furow FLY) before wo Com Caleuteti MELE), pu hot Hoh dhe Case yw Covarclr ~ EU, (m1, 5, ...,%n) feos er -@ -~0 which emis for -hebeh - Ee oes Fahne Nuns vote ee DFU 3,222, An), YoU (%,Xa,.- yn) = + - In=Un Os 2, en). we arruume Hat tee fans ating a I-1 tropfermortion . ee Hake Mim Oi Yay rH) LEN Byori canoe Hr Bt functions aud pt f duwlr Ke vacobian ket B rt Areal" a Any & } wa Aly Ray IPA | XyXa)-- Ka Cae PAP Vs, Yay.. Yu ah [West?n? ; ry ie. iy “08 ey, wn) IT] Has 7 >f : Je H/wW,Way ao TE manginad pods 9 i 2 gly.) abba mac by Oey Het joint pel} OM Yay. Yn \ ,. oon wo Guy) = J. -f lounge Wa) 13) Ba NM, ~@ “Os ie(t. fw ae ent Ag "88, Pe quody, = efet™] 2 94 5 x. -«a “Ths we can colewlahe Ef ofthOrs%ar-/™9] cud, howe 48. value % eCet] 1 YWyOu20,- oN Hower iis jock providu another techniques Wp aa fo find Re pelt a lusehion ginal Wivabte TEs techutque 2 called monn Cedi: tay a “i a (aye), JAhyn, Teal durok k Poupe AM Puwerse functions Cert hat Tre 622-0, kk cluncte K-Jarobiays JP!t Ty wation us not nu-ow Jk : Yin Bw Wy. 14043) Fey) , } tw S £00 f Peat Meet a . bees a, -0 eae pet Ff y, a 9l%) obtearid ¥y, “opal jen jp Pom Yar @: >je al gly) E pet J # mah Ye ah pur sulle do trae} x] the raven = not gwate me . abo prove +o. yok: we cor foes oie pees ult Oa discroh cage IN Awe Eupacterion gM ————— ks a gq Vi cow be corp uted iM Cha Wann - Go E(Y d= fis d2Y), -f. _fosvowe Ate) AO, %,--4) dny.- dy, | Fapectation q amy quonction $1: CE ere Ge Elev] ~ fon 10 -o | = : af ofa a, Er ~ | het tek fi no ordination Sigel, Prowpley, ey Putt. Roswnkoum Vastabhs KX, dasa nme. ply faa TONS oo See Vastly oad Ya, dk feds) «Mae, Be Ae at), 2 © ewhre « Compute thy probed lily 4 cach lew Kens fy Ye 3dy Sb by Moment gevsraing fuels Fedlawaguea J Sodubtou! Bf weomndown Vasobe ¥* xer%a fed: ae tm ee] givee Yn & Xpane Mt bia tn Efe tay 909 +H) med gy o Efe ee eS Efe). & ag : epote 2) sb, cLfe Fyre Pee bape Od oe $ | Site 3, and es distribusion ; ef ome le et poe reas dt], | 4 ob Hit) - a : et pad g[ene ne on fet caret 420 ze 2 afc thet trad bye Pe ad Ai “Le Maud et tee ge Bey ze | EYemen, tas, been Yee =2,3,4,5,6,] Ll tell wy dat P % pa ab y= 23406 y 2 3 44 4 oe, r Met Ym te sb om Ma amd gly)=0 elec nan plea Teg 2] Lex, sah Modhadcally Prclepondent esi nan dsbibubton nl Hye), n( Ha, 6! 6) vetpeohively. lit YFX ie Find the pat q J. ‘ou elton random varrable Y\2X-Xo megy GY MID = fet], efet Urn] > Ele me oss) es Akan Tre ele), “Xv amd Xp howe same dish buht'ou ~ Mi, 32) mH ae ELD) 2 Hep) fe eS leHy* a ° ehevhun. ~ mle fe] sf ebeyadde etn _ $A, -a =o 2 ! - (nx tH) oGK et e oe One -A lef o COHBRRTE +b a | -A ~via) ee an e a -A aR aa(prter te p® 2 x2 (rttet)ac tert (He = [x-( (utbo?)]- [ytrabee +e 4 2 [x= lpret)]*- [207( BE+tey] walt te) p> a-tmeny preres’] ose ose , > fn- (urt))~ CHE t | ee SME) eo ve Je a P, pacnste he -@ pert 7 Ae -o oe © (A -(H+te?))* au J Ct n= It _— aera dn ox Ere : fay obeete net - -Hat 5 ~ Efe] = itt ae 4 cfe*J- othe +key i ea P42 Lk + ay7t2 ether cH ae -* fle}, zéf et’ Ja wirste pot rele ett testy’ +45 245 GL) Car kat: ces te coe wees eho he, a fotlows Neal dishy 7} bation eet neon Hy-Hs and Vertowwe 6 24 632. > y te n(Hrbs, 70"). an - DL Y=Xrt%e volwr enn (irs) Tena tl Y boy Nowak dishtbutton n(prhe, 4 63>). | | re er fut) Pwr Be X\ 7 Xap Xn be uty Atochasti Pdspende yandow vari abl thawing 14 ma “ie vormal gatyibabe NCH), NUH), . MlMn Ga?) The aroanchom™r vartable Yo RIX tb haXa te Knit cohabe yer, Kayes sy Rn ae eal combats, a4 nornsally awa with wueoun Kiki thas. + sb Rnpn and vouiaanes KE thon CO ¥ feblows 5 Ded nt Bei. 2st) Proof Grr Y= KX + Mak ab + oe a gy g YAW DE {é E(K Xt Ka%a to Km) |] > fen” ete — eaten HX A= maa shoohatts, tvolph, Lely: al eee [eh] gfe]. £] kate] wet Ud Xan (Ke, MLA = Efe*J= e! perce 2, Hor Xy on (ata). myles) = £(e%) = gutta eri] = fetta gs Poe)" (pines elagie ure z gd gy amyl ye vet neste wake “pager _ ohh wikije rgetee > mgqqy ‘a mgd g narena Aabohuion wi mace 2 Hk ya Vos 2a8 > ° lows i AS 797 one PAY fol vb, 8), 7 su 9 udsporrclurt hareally ds Vasablsh “ba a gran | diskeiloodtton 7 Dee dail eo ae oT That Fri 2] . eo Ne Ky be nusbaally pee Vauiebbr Het ove, rape wee : = Reed, Whe, ..., Plow) Tan He tear oe Voting, Yaw ted Xn hes a qraisten. with Veber a 4 pesdom (le) ¥ # RO oH +Yn)- B hs Ys Xiah Xn. TA med ty a ml EC t 2Ele Mk hes: oxn) Vee aKa) ls hale BEE) eet). Efe) xX She Kao WOH) , +) - aT me . Mle): Ee) , fla) eS on “tha Tr pee wel glee TE) Ke Krb)™, ite te yee | Uso 20H Ura, n 0 ~ouae aol 2 Ta GE a Uh) <4 t 6 ESRD duos Bde src Ml) = cor ya a fo" Ge Cane dostyn: fey - le % a ae Bs re 7 f todd) 2 J tase RTH de =) fy le) = oy . (an (1-2eFe = > 7, ESYe J Myl= Cate ben | | =) mat 4 Yat lb) zt ae, ye a = Craapy ete Ley 7 -- ¢ S | 2 (p15 OARS Ata ey, KGL 4 -disle wih bays > Oy freedom re py Yu fe Yn) aA ree ded budten ‘ole bsg q Preedow Wt dr, ae 7X clamch o random romngple. § Ainge n | VXa,.. ce + eho ha NC prod: Te vouctonn Ven: * w 3 Zick)? oy, a x. disbrn. wre ugegree q freed, Peg Leno; recit Voandow, Vent abte X da NCH) / 020, ne Vaid Vv = ey)" a tO, real t v= (ey > we Xo 9 vew?. WKT Xa NOM, an Ket as 001) > w follows Nlo, 1) £ Vw" Distyibubfon fa amg Vs aver] fer Ve AW) =efwrev] “tr aw ne we Nlo1\ Taget * hw fa)= do ; -W Sivee gtk s dratlaueclis we oy 7g\)be luo E oO teu” , w= Vt Wro0 kao dk & dw dw we tar dus Jt. dt aw ae -th, : a > Catv) = af or H © 2 ‘ ala: eth tote ire 6 Wht r= ply), Ge ah -| -& >i jo ee te om ab. rl stialerbubton pom 4 tlre) DV follows Of dist bubton wih t- rae - Proof 4 Fam? | Antal Ye BCEY: (0) v ¥ daunues Xre (His), (xaek) fa 200 Ya Aun gon (ac 1 END with ap | 4 fruedom eoul (ie Yr =) Bytam2: Yas ge (tietat spy, V7) > Va C(n) wth «- dageecs q feed’ jsdom _ / ahem: (Ransik Hua] aunok 0 erdon g Lt (4y,) (te), 1 ni yn. with pad Hn)! 4 Ainge W fom inveradt nov if are ptf 34, 2 paawutot fs, Hat # e 7 hwo atabichics <> 4 BX eye ; Proof: aby Ww Ls +7 2X & Yee DXB waren 941 ay Yn wh 7 OMT Yn. © Joint py 9 (i), Cons Yn) fio an Roy O43 i) ini i: wey lxivy;) = Hath) fa Ma) tin) —@® we apply mg teshuiqus 40 fink PH AX? ~ mgd § (Ry) de (buts) E[ fFH¥] Mlb) = een’ bab; +bbay | re rh SET | WRT Mt) E(t) - ere | | rf 3 wht) = i. oa ER Coe ay, J, =y-y: + Sy ic tx. ei moet xs, ak Marky | See 7 a ® Awtlbyb) = fo fereree Pare hh n 7 w fH). Hota Yn) dity-. «chan Ca X28 Pndpl - 1 we pouped Tegrtte aleve. (M4, a JE oa Eales mq] 4% y) — © ly t2) ~ \ 0 2), 3 WSs = giro (Kir Vim Pivetade normal dette bubvou ' : 1 5% vi L69 ratte Letgte- : se te oie) eNO eee MAIRAY, witb.) = ftthatita sen Kt eee v Hoe mgd J XY.) duplace be by 4 bib, | medio) =m [be ta) | lage eftertolte/ oaaamighie sb 1p Alle © in. ~ wbiy tata bos 2enicbbat Gs" potas Habayl Gb pri zens ey mit, ta) oT an> Tes sft rite ,foptte2enrabbst ot] ~oml ow Fae eae ieee uate Hanks 4 roth +2en"4 Bowe oar aya pact aby t OH 2Phitbete bs] perce ala 7! 2 a mgd 4 bivartodk normal dicytbubion, wh med Pitts & valbace Sf Ge and. Covrrelahy, loft 2. ~ Zand ¥ fowo Ha joint dicbvibuttom . Sheds Boy.ab — hed. Px heb Heo, Fnaxcise’. Fx 4.46 J [Eu hbt] bry, amaXo, be. #oolasth Proll. corr normal dérhy | n (09 nt) oo ee | ae oe ae ey Astubjous oN. . PS weed te pach Bf apap e Po] x70 el aR [x- XoF 0] AE Ye Kay, WAT ire mitreer eyed Se a K x Kim WH a2), Xow n( Hada). Then Xin Xe! b a ten His6, Hort, cay res) © Yoon (6-3, 141) = 1 (1,2) ds Norma disten with wean, var zr . prfysi)> te ® xy Pm Tx,> x3 : t=n(Q222) 21 -ME >1-N(0.40#1) Team it 2 1-0.48¢ oe asc Bota] | feat tadgt mountan Vatrialts X) RK, hawa te rome pop fore , 1212/49 20 elsoushay | ad Ae pad § Yee tY Setubbon: we wae Momeat geurarting funchon ted P YER HKD WE) = Efe]: cfetien fers th X) xX, are stochash ee Myl)) zefe™, we. £ ese] eee a gfe*]> a. fe*} ert ports ott Streit] fer]: A [et +e ae tee ne sty abt] far, ByD=) Myle) fie teri 4 et beta altl sdgfet obs sett] ® +d ye" te oft ahaa etter é oe ue, ast pe Fach ty ew = ak uty : Rie +e! obty e@ ty ol oI Pi aa(e el Ae +8 bolt, ty b+ tte st Hatt atts thy ati elt)] - ret “Le. +20" +30" ted 5 6 getty net tel, ae pt] 6 Ms cha + tp aath gg ready te at i< $b +e 7 Ue on jot ce Be ae D> pl BY eursh fer ye2,% 4-12 ebewhus. ve A oe | Your, KEW BA NS DY S22/B,b,., 12 Yeo Scitech Sr 6h. 4 | qt) a) = So 2 2 4, 3b 38 At ote eh cy [Ex AFT] Fxsa. te]. : random Vani LF K\ 2g be stochastically feel x HEX 2 Yarns hawe dla ayoore oe aes 228. @ Headowr Torpectively. Here Vi aa oy tei Kgradn disden, wt vor, Meg 3 # j Sotubton: 1 Craven xX) LX ane stochasreally aie "Of a gucy a Mylb= pfekeore] Ai ey A eM Leg a BY Ya xlte 29 My {#) = (1-2, mA Xp 2b) > mil)» (1-28) 726 Aa Ling © A in, Cie aty™ 2 Gy sa5 e(eh) fen. WPA Sy ( aaa : e(et%) ( ve [%e% tenet? 2 E(e’*) 944 (1-0) = £(eb%) ohare gee Dea D Xre Ll) wt few 2" autem, with ry, pigrecs 4 fuck |\Fasn. 78 J fee A] ; be dee stodaottically indgt random Variable X12, 2 binomial distibuhon with parameters n,, P=) No, Paz Vp #4 pecctively . Sot Vex) -¥ornyhas iMomial distribution with paroumater, naman, Pey, oO — fplution: haven Ya XX tM, “Wty Ut) ag fetlXrmtnn]. efete, obra orn] 7 OA Xs ane Pooled Boe ti cout Mylé)= Efet%T efetroy, efem] —@ Sime Xiu bindn, wy PAG Y is Gnd by b) Yon bin(n,, >) Frantey x bin ln, pau Mit)= (1 pr pet}'] 7 My lt) 2 Efet% Tq, Cpe Pe Ve. 2 Ci-\o+ pe ety * ryt) —@® Also Mylt) = (er yet) 5). > Merle) 2 Uryety*—O wing ©£ Oin|® | My) = (yr Yer" (ynbst)™ ebte > (rhet)" (spetnn ght i 2(garkety . mg 4 bin dsten AimMe, PHY. DY bw binomial distybtion wih palamedes nenin2 & Pe Vo ff ' See a TEah: +O fens A425 bab ae ger Ya 3g) fold amearctonyy Usa me ., a . Addin waeint Jevwrattiny peabwiger Avon Y=x? . BY mg4 tedphigue, Efete] xe) » Since X Los novrnal distr wel 0, V~!- oe eee re ae Von ebrerdure | oO Oaadk My Lt) oft, - a My) s ele! ter) = |& 4d Oe a ghal-ae wb Myft) > [Hage Le fae dy woth x tro wa 4 Rea riimsie reas a “ Oa 0% Y — dwg Oe > ae hig, = de | Pa tt) = fon de rylB aB* a mgd g nto] STAY Vito cla- “bahteu 2 Ao ri sae 4 tl degre 4 3h] fen: 4433 MEX), Kay Xn Cease on - mucallg a vourdon Vartabter wiih tu moniiut-Penoel rg quacio HMLED, MIgLE), «AT LED Verpeodiv lig ()s.7 ys KX) + Kay, be tik While Ke May. Kya sak toustonat, thar Ha mgd sale) = PMC, t) WD cach ¢ ysl andl iy ¥j 4 Porsson cot wotax Be, C2 2, ne PT ya Polscon worttr wate Ke AHst +4 Wte004 Sebution’ Ye Kt REX tet KX M949 Y tml) 2 efetY Je Efel litt -them) seem QtobA fabtey SS ‘A = YR Kaye, Xn aan, Padipendint 2E fet] ef eekxa7 ; Ef ekntxn7 = MCKIE Mlk)... ityllent) MylE) = Pr milks, £) 1S} WD Df each Kiet dium vaxensa., +k, i DX; Poisson with mean a its mg of is Mile) = altled [or xe Reiced , mis) 2") Syl) = Efe Pere acer Peat] select... okt] i b- r | A oe Efes *. Efery.. Efe eT Hy wtyLt) = plrlAed, puateta) tile") eee ris etek tHE), smagid 9 Poisson wrth parametos d= BitHat- THe - Yb Poissor proces with paramuter dept PRM * \Gx:4. 85 ]Ea 24-347 TL Kay es Xa wo random “Aample frew o ddiibubvon with mg.g mid: ST M6 9 Bx, 2, AL au Yapeobively pate MAT" Actubou! O) mad § ai & ley |= ele ae) 7 E(et leith) ) we(etertbat-- 4 Pm) a 2£ (em, ott. _ ott) XR = Arechasbeably nctgh. 2 gfe) E(e) .. HE). “Mlt) a mod Y Xp Hiern Mayle) = MIE). HUE. MILE) = fincas] a) w.g4 gq Baba wts.x: LE) se (em) Efe AtttRt aR) ] cefe™, oe a ony exis Paths epee T ef MAT. Efe] VMlt) a Mod 7x; #) SD al) da -g-4 4 ki ¥! Masse wi) UB) «AU afi TY > R

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