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    MGF Stat

    Uploaded by

    Naga Varshini Meenakshisundaram
    The document discusses the derivation of the moment generating function (MGF) of the normal distribution. It shows that the MGF of a normal random variable X with mean μ and variance σ^2 is e^(μt + σ^2t^2/2). The derivation involves a change of variables to transform the integral defining the MGF into a standard normal integral.

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    © All Rights Reserved
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    MGF Stat

    Uploaded by

    Naga Varshini Meenakshisundaram
    11 views2 pages
    The document discusses the derivation of the moment generating function (MGF) of the normal distribution. It shows that the MGF of a normal random variable X with mean μ and variance σ^2 is e^(μt + σ^2t^2/2). The derivation involves a change of variables to transform the integral defining the MGF into a standard normal integral.

    Original Title

    MGF_Stat[1]

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    The document discusses the derivation of the moment generating function (MGF) of the normal distribution. It shows that the MGF of a normal random variable X with mean μ and variance σ^2 is e^(μt + σ^2t^2/2). The derivation involves a change of variables to transform the integral defining the MGF into a standard normal integral.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    11 views2 pages

    MGF Stat

    Uploaded by

    Naga Varshini Meenakshisundaram
    The document discusses the derivation of the moment generating function (MGF) of the normal distribution. It shows that the MGF of a normal random variable X with mean μ and variance σ^2 is e^(μt + σ^2t^2/2). The derivation involves a change of variables to transform the integral defining the MGF into a standard normal integral.

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    © All Rights Reserved
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    You are on page 1of 2

    MGF of Normal Distribution:

    Assignment by:
    Naga Varshini M 2020017022

    Normal Distribution function:


    Continuous Random variables are used in situations when we deal with quantities that are measured
    on a continuous scale, like the speed of a car.
    Definition: If X is a continuous random variable, then the pdf is given by
    1
    f (x) = , -∞< x <∞
    σ √❑

    Derivation:
    Let X be a normal variate. Then MGF (about origin) is given by
    ∞
    M x (t) = E (e tx) = ∫ etx f ( x ) dx
    −∞

    1
    =
    σ √❑
    X−μ
    Let z= x= μ+σz
    σ
    dx=σ dz
    ∞
    1
    M x (t) = ∫ et (μ +σz) e¿ ¿¿ ¿
    σ √❑ −∞

    μt ∞
    e z−σt
    ¿ ∫ e¿¿ ¿ ¿
    σ √❑ −∞
    Let
    √❑
    =y

    ∞
    e μt
    = ∫ e¿¿ ¿ ¿
    σ √ ❑ −∞
    dz = (dy) √ ❑

    σ²t ² ∞ σ²t ²
    μt + μt +
    ∫e
    2
    =e
    2
    dy √❑= e
    − y²
    dy
    σ √❑ −∞ √❑

    { }
    σ ²t ² ∞
    =e
    μt +
    2 √ ❑ ∴2∫ e− y ² dy= √❑
    ❑ o
    σ ²t²
    =e μt + 2

    References:

    Textbook on Probability, Statistics and Random Processes, P.Kousalya, Pearson Publication,

    ISBN 9788131774526

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