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Moment generating function

  1. May 5, 2010 #1
    Is the following correct?

    [tex]M(t)=1+t\mu'_1+\frac{t^2}{2!}\mu'_2+\frac{t^3}{3!}\mu'_3+... =\sum_{n=0}^{\infty} \frac {E(Y^n)t^n}{n!}[/tex]

    where
    [tex]\mu'_n=E(Y^n)[/tex]
     
    Last edited: May 5, 2010
  2. jcsd
  3. May 5, 2010 #2
    I think that will only be true if your moment generating function is an exponential - in which case you are just doing a Taylor expansion. This is true for a Wiener process - but I don't think the relation you have holds in general.

    Regards,
    Thrillhouse86
     
  4. May 5, 2010 #3

    statdad

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    Homework Helper

    [tex]
    m_Y(t) = E(e^{ty}) = \int e^{ty} \, dF(y) = \int \sum_{n=0}^\infty \frac{(ty)^n}{n!}\,dF(y) = \sum_{n=0}^\infty \left(\int \frac{(ty)^n}{n!} \, dF(y) \right)
    [/tex]

    What do you get from working with the final form above?
     
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