- #1
mliuzzolino
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Homework Statement
The moment generating function (m.g.f.) of a random variable X is defined as the Expected value of etX:
M(t) = E(etX).
The series expansion of etX is:
etX = 1 + tX + (t2X2)/(2!) + (t3X3)/(3!) + ...
Hence,
M(t) = E(etx) = 1 + tμ1' + (t2μ2')/2! + (t3μ3')/3! + ...
If we differentiate M(t) r times with respect to t and then set t = 0 we shall therefore obtain the rth moment about the origin μr'.
For example, the m.g.f. of the uniform distribution is:
M(t) = E(etX) = [itex] \int_0^1 e^{tx} [/itex] dx = [itex] \dfrac{1}{t}e^{tx} [/itex] |[itex]_0^1 = \dfrac{1}{t}(e^t - 1) [/itex]
= [itex] 1 + \dfrac{t}{2!} + \dfrac{t^2}{3!} + \dfrac{t^3}{4!} + [/itex] ...
Differentiate this series r times and then set t = 0. Show that μr' = [itex] \dfrac{1}{r + 1} [/itex].
Homework Equations
The Attempt at a Solution
I tried to do this by differentiating a few times to find a pattern:
[itex] 1 + \dfrac{t}{2!} + \dfrac{t^2}{3!} + \dfrac{t^3}{4!} + \dfrac{t^4}{5!} [/itex] ...
Differentiate once:
[itex] \dfrac{1}{2!} + \dfrac{2t}{3!} + \dfrac{3t^2}{4!} + \dfrac{4t^3}{5!} [/itex] ...
Differentiate twice:
[itex] \dfrac{2}{3!} + \dfrac{6t}{4!} + \dfrac{12t^2}{5!} [/itex] ...
Differentiate thrice:
[itex] \dfrac{6}{4!} + \dfrac{24t}{5!} [/itex] ...
Since t will be set to zero, only the first terms of each differentiation "survive:"
[itex] \dfrac{1}{2!}, \dfrac{2}{3!}, \dfrac{6}{4!}, \dfrac{24}{5!}, ... [/itex]
The pattern from this I noticed was: [itex] \dfrac{r!}{(r + 1)!} [/itex], where (r+1)! = (r+1)r!
So, [itex] \dfrac{r!}{(r+1)r!} = \dfrac{1}{r+1} [/itex].
This seems correct as I've obviously arrived at the correct expression, but I am wondering if I have approached this correctly and if there might have been any errors in my thought process.
I am also a little bit lost conceptually as to why t is set equal to 0. What does setting t = 0 signify?
I'm self-studying this topic and I'd really like to have a full understanding of what's going on rather than a superficial understanding where I'm just accepting that it says set t = 0. I'd appreciate any amount of elucidation!
Thanks!