MGF

Mx(t)

= E (etx)
1 ( x ) 2

( ).[
]
1
tx
2

e
.
e
dx

=
=

dx

x 2 2 2tx 2 x 2
2 2

dx

x 2 2 x ( 2t ) 2

2 2

dx

1
=

2 2

1
=

2 2 tx x 2 2 x 2

1
=

dx

1
=

1 x 2
tx (( ){
) )
2

( x 2 2 x ( 2t ) 2 )
2 2

dx

misalkan ( t 2 4 +t 2 4 )

e t ( t

e t (t

)/2

.e

1
( )[ x ( t ) 2 ]2 / 2
2

)/2

.e

1 x ( t ) 2 2
( )(
)
2

Misal :

1
x ( t 2 )
dy dx

y=
dx dy
2

e t ( t
Mx(t)

)/2

=
=

t ( t 2 3 ) / 2

1
( 2 t 2 t 2 4 )
2
2

1
( )[( x ( t ) 2 ) 2
2
2

dx

1
2
2

1
( )[( x ( t ) 2 ) 2 2 t 2 t 2 4 ]
2
2

.e

y2
)
2

dy

1
2

y2
2

dy

dx

dx

dx

Perhatikan bahwa

y2
2

dy

adalah luasan di bawah kurva distribusi

2 3

t ( t
normal baku, sehingga nilainya = 1. Maka: Mx(t) = e

a.

)/2

Mendapatkan mean (x) & var(x) dari MGF

2

Mx(t) =
Mx(t) =

et (t
t

e .e

)/2

2t 2
2

Mean = Mx(t) = uv + uv =
t

e (e

=
=
=

e
e

= 1.(

=
Mx(t) =

d
dt

2t 2
2

2t 2
2

0
2

2t 2
2

2
) e . .2te
2
t

2t 2
2

. 2 t

( 2 .0)

(Mx(t))

d
t
t
t
t
2
2

e
. 2 t
dt
d
e t .e
dt
t

2t 2
2

( 2 .t ) t 0

2 2

d
( M x (t ))
dt

( e .e

2 2

2t 2
2

2t 2
2

(( e e
2

= e
2

= e

2t 2
2

d
. e t .e
dt
2

2t 2
2

.t

2 2

t
2
e . .2te 2 )
2
t

2t 2
2

2
.t ) (e . .2te
2
t

e
2

2t 2
2

2t 2
2

2t 2
t ) (e .e
))
2

t e
2

2t 2
2

2 2

t
2

2
2
2
4 2
2
( t t t )

t e
4 2

2t 2
2

+ e
2

2t 2
2

= e

2t 2
2

( 2 2 2t 4t 2 2 )

Var(x) = Mx(t) (Mx(t))2

=
=

(e
(e

= e

2t 2
2

2t 2
2

= e
=

2t 2
2

4 2

2t 2
2

( 2 2 2t 4t 2 2 )) - (e 2 t t ( 2 2 2t 4t 2 ))
2 2

4 2

( 2 ) t 0

( 2 )

2
= 1. ( )
2
=

b. Persamaan fungsi karakteristik distribusi normal

1
x ( t )= e
e
2

tx

e
2

e
2

1 x
2

( )

( )

dx
2

x 2 x+ 2 ix
2
2
2

x 2 x ( +2 i ) +

dx

1
2

e
dx

2
pandang
x 22 x ( +i 2 t ) + 2
2
+i t

+i 2 t

2
2
x 2 x ( +i t ) +
2
x( +i 2 t ) 2 i 2 t + 4 t 4

( +i 2 t )
x

1
dx=
e
2

1 x
+tx
2

( 2 .t )) 2

( 2 t t - 2 t t

2t 2
2

0
2

( 2 t t )) - (e
2

1 x
+tx
2

( )

dx

4 2

Berdasarkan (i)

x 2 x ( +2 i )+

1
2
e

2
( +i 2 t )
x

2+ 2 (i 2 tt 2 2)

2
2

dx

( +i 2 t )
x

1
e
2
e

i+

t 2 2
2

Misalkan
x( +i 2 t )
jika u=

maka

1
du= dx

---(ii)

Berdasarkan (ii)
( +i 2 t )
x

1
e
2
e

i+

t2 2
2

Sehingga Cx(t) untuk distribusi normal ialah :

2

i+

t
2

12 e 2

u2

du

Untuk distribusi normal baku luas dibawah kurva adalah 1 sehingga C x(t) untuk
distribusi normal baku ialah :
2

i+

t
2