Moment generating function

  • Thread starter donutmax
  • Start date
  • #1
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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:

Answers and Replies

  • #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
 
  • #3
statdad
Homework Helper
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[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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