Lecture 1 Expectation of a Random Variable (1.

8) (Definition) Let X be a random variable (rv) and defined by , Then X has moment list * Note:
( )

The

or expectation moment of X is

( ) ( ) + * ) +

( )

( ) ( ) ( ) ( ) ( ) , ( ) Sometimes the expectation E(X) is called the expected value of X, or the mean of X. When the mean designation is used, we denoted it by ( ).

Example If get moment-list for Solution: ,

). Find the expectation of this uniform distribution.

)(

Fact (moment-list uniqueness). In (almost) complete generality, X=Y proof-omitted (Taylors Series uniqueness)

Moment Generating Function (Definition) Let X be a rv such that for some h>0, the expectation of exists for h<t<h. The moment generating function (mgf) of X is defined to be function M(t)=E( ). Laplace transform from Differential Equation, the mgf of X is ( ) , Recall , [ ] , ( )

Lecture 1 Thus,
( )

( )

( )

[ ( )

( )

Properties of mgfs: ( ) 1.
( ) ( ) ( ) 2. 3. (mgf uniqueness) If near 0, then X=Y ( ) 4. ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( )

Example 1 ( ). Find mgf Solution: ( ) , { ( )

Example 2 Find for Solution: ( We can use mgfs ! ( ) But ,

( ) ) (but 88 integration by parts!)

( )

( )

( )

Lecture 1 Example 3 ( ). Find mgf. Solution: ( ) . / ( ) ( , ) . /( ) ( ) ( ( ))

Note: Binomial Theorem . /( ) ( ) ( )

i. Homework: Find

(Find mgf take derivative)

Example 4 ( ). Find mgf. Solution: ( ) , ( ) *( ( ( ( Example 5 ( Solution: ( ) , ( )

) + ) ) ( )

). Find mgf. ,
( )

( )

( ) {

( )}

Example 6 Find mgf for Solution: ( ) , -

( ). ( )

Lecture 1 Lemma Solution: ( ) ( ) ( )

( ) ( ) ( )( )

( ) ( ) ( ) ( )

( Example 7 Find mgf for Solution: ( )

Recall ( ) ( ) ( )

ii. Homework: Find moment list of Z Example 8 Find mgf for Solution: ( )

[ (

iii. Homework: Find mgf for o Mgf uniqueness or o Convolution of density

), i=1,2 (

Lecture 1 Example 9 Find mgf for Solution: ( ) ( ) {

),gamma distribution. ( ) ( )} ( )

iv. Homework: Find Example 10 Find mgf for Solution: ( )

Example 11 Find mgf for Solution: ( ) Lemma ( )

( {

) ( )} { } ( )

( )

( )

( ) ( )