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Problems Solved in Class - Moment Generating Functions

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Problems Solved in Class - Moment Generating Functions

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guptaparth310505
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© © All Rights Reserved
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Problems solved in class – Moment Generating Functions

1. If 𝑋 is a random variable taking the values 0,1,2, … and 𝑃(𝑥) = 𝑎𝑏 𝑥 where 𝑎 and 𝑏 are positive
numbers such that 𝑎 + 𝑏 = 1, find the mgf of 𝑋. If 𝐸(𝑋) = 𝑚1 , 𝐸(𝑋 2 ) = 𝑚2 , show that 𝑚2 = 𝑚1 (1 +
2𝑚1 )
2. If 𝑋 has the pdf 𝑓(𝑥) = 𝜆𝑒 −𝜆(𝑥−𝑎) , 𝑥 ≥ 𝑎, find the mgf and hence 𝐸(𝑋) and 𝑉(𝑋).
𝑒 −|𝑥|
3. Suppose 𝑋 has the pdf 𝑓(𝑥) = , − ∞ < 𝑥 < ∞, find 𝐸(𝑋) and 𝑉(𝑋) using mgf
2
4. Find the mgf of
(i) Uniform distribution in (−𝑎, 𝑎). Hence find 𝐸(𝑋 2𝑛 ).
(ii) Binomial distribution
(iii) Poisson distribution
(iv) Geometric distribution
(v) Exponential distribution
(vi) Gamma distribution
(vii) Chi-square distribution
(viii) Normal distribution
5. If 𝑋, 𝑌 and 𝑍 are independent random variables such that 𝑋~𝑁(3,4), 𝑌~𝑁(4,9), 𝑍~𝑁(5,16), find
the pdf of 𝑇 = 𝑋 + 2𝑌 + 3𝑍.
2 2 2
6. If 𝑋1 , 𝑋2 and 𝑋3 are independent random variables such that 𝑋1 ~𝜒(1) , 𝑋2 ~𝜒(2) and 𝑋3 ~𝜒(3) , then
show that 𝑌 = 𝑋1 + 𝑋2 + 𝑋3 also has 𝜒 2 distribution.
7. Show that for a normal distribution with mean 𝜇 and variance 𝜎 2 , 𝐸(𝑋 − 𝜇)2𝑛 = 𝜎 2𝑛 (1 ∙ 3 ∙ 5 ∙ … ∙
(2𝑛 − 1))
3
8. If a random variable 𝑋 has the mgf 𝑀𝑋 (𝑡) = 3−𝑡, find its standard deviation.
9. Let 𝑋 be a random variable having the pmf 𝑃(𝑋 = 𝑘) = 𝑝(1 − 𝑝)𝑘−1 , 𝑘 = 1,2,3, … , 𝑛. Find 𝑀𝑋 (𝑡)
and 𝑉(𝑋).

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