How do you find moment generating function?

In summary, the conversation discusses the use of a probability density function for a random variable X and the difficulty in finding examples similar to the given function. The formula for calculating the moment is also mentioned, with the correct integral being the sum of two parts.
  • #1
semidevil
157
2
I have absolutly no idea how to do this.

so let X be a random variable with pdf fx(xy) =
x for 0<=x<=1
2 - x for 1 <= 1 <= 2
0 otherwise.

I"m looking through my book, and it doesn't give examples that resembles this.

all I see is the moment is e^(tk) * the function...

and tI don't know what to do when it comes to my problem.

is it the integeral from 0 to 1 of e^(tk) * x + the integeral from 1 to 2 of e^tk * 2 - x?
 
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  • #2
If you mean int(e^(t*k) *x,x= 0 .. 1) + int(e^(t*k) * (2-x),x=1 ..2) you are right.
 
  • #3


Finding a moment generating function involves finding the expected value of e^(tx), where x is the random variable and t is a parameter. This can be done by integrating e^(tx) with respect to x over the range of possible values for x. In this case, we have two different ranges for x: 0 to 1 and 1 to 2.

To find the moment generating function for this specific random variable, we can break it into two parts:

1. For x values between 0 and 1, the pdf is simply x. Therefore, the moment generating function for this range is:

M(t) = ∫e^(tx) * x dx from 0 to 1

= (1/t) * e^(tx) * x from 0 to 1

= (1/t) * (e^t - 1)

2. For x values between 1 and 2, the pdf is 2-x. Therefore, the moment generating function for this range is:

M(t) = ∫e^(tx) * (2-x) dx from 1 to 2

= (1/t) * e^(tx) * (2-x) from 1 to 2

= (1/t) * (e^(2t) - e^t)

To find the overall moment generating function for the random variable X, we can add these two parts together:

M(t) = (1/t) * (e^t - 1) + (1/t) * (e^(2t) - e^t)

= (1/t) * (e^(2t) + e^t - 1)

So, the moment generating function for this specific random variable is (1/t) * (e^(2t) + e^t - 1). I hope this helps! If you're still having trouble, it may be helpful to review some examples in your textbook or consult with your instructor for further clarification.
 

Related to How do you find moment generating function?

1. What is a moment generating function?

A moment generating function (MGF) is a mathematical function that allows us to calculate the moments (mean, variance, skewness, etc.) of a probability distribution.

2. How do you find a moment generating function?

To find the MGF of a probability distribution, you need to take the sum of e^(tx) multiplied by the probability density function (PDF) over the entire range of possible values of x. This can also be written as the expected value of e^(tx).

3. Why is the moment generating function useful?

The MGF is useful because it provides a way to calculate the moments of a distribution, which can be used to describe and compare different probability distributions. Additionally, the MGF can be used to prove the Central Limit Theorem, which states that the sum of a large number of independent random variables will be approximately normally distributed.

4. What are the properties of a moment generating function?

The MGF has several important properties, including:

  • The MGF always exists, as long as the integral used to calculate it converges.
  • The MGF is unique for a given probability distribution.
  • The MGF is differentiable, and the derivatives at t=0 correspond to the moments of the distribution.
  • For independent random variables, the MGF of the sum of the variables is equal to the product of their individual MGFs.

5. Can the moment generating function be used to find the cumulative distribution function?

Yes, the MGF can be used to find the cumulative distribution function (CDF) of a probability distribution. This is done by taking the derivative of the MGF and evaluating it at t=0. The resulting function is the CDF.

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