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Moment Generating Functions

  1. Nov 19, 2015 #1
    1. The problem statement, all variables and given/known data
    If M[X(t)] = k (2 + 3e^t)^4 , what is the value of k

    2. Relevant equations
    M[X(t)] = integral ( e^tx * f(x) )dx if X is continuous

    3. The attempt at a solution
    I tried differentiating both sides to find f(x), but since it is a definite integral from negative infinity to infinity this method doesn't work. Is this approach (trying to find f(x)) correct? If so, how should I proceed from here? Even if I expand (2 + 3e^t)^4 the resulting expression will be very convoluted and hard to work backwards with. Thanks!
     
  2. jcsd
  3. Nov 19, 2015 #2
    Hint: what properties must a moment generating function have? i.e. there is a particularly helpful property of moment generating functions that would help here.
     
  4. Nov 19, 2015 #3
    Hmm, I'm not sure, is it the Taylor series expansion of M(t)? I worked out the first few terms but doesn't seem to help. I'll just get M(t) = k(2+3e^t)^4 = M(0) + M'(0)t + (M''(0)/2!)t^2 +... = 625k + 1500kt + ... (did not expand the rest, because I don't think it's getting me anywhere)
    I don't think this is the particularly helpful property you are referring to... Any hints on what the property is? Thanks!
     
  5. Nov 19, 2015 #4
    I'll expand on the hint a little. Note that for a continuous random variable, the moment generating function is, as you have pointed out, $$M(t)=\int _{-\infty} ^{\infty} e^{tX} f(x) \ dx$$
    What, then, does this say about the value of any moment generating function at ##t = 0##?
     
  6. Nov 19, 2015 #5
    Ok I got it! M(0) = integral f(x) = 1
    k = 1/625
    Thanks for your help!
     
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