Math 2.0

statement proposition

Moment-generating function of a sum of independent random variables

Statement

Let X1,…,XnX_1, \dots, X_n be independent real random variables, and let S=X1+⋯+XnS = X_1 + \dots + X_n. Then for each t∈Rt \in \mathbb{R}, the moment-generating functions satisfy MS(t)=MX1(t) MX2(t)⋯MXn(t),M_S(t) = M_{X_1}(t) \, M_{X_2}(t) \cdots M_{X_n}(t), in (0,∞](0, \infty].

Remarks

Proof: etS=etX1⋯etXne^{tS} = e^{tX_1} \cdots e^{tX_n}. The factors are nonnegative and independent, so the product rule for expectations applies. For i.i.d. XiX_i, MS(t)=MX1(t)nM_S(t) = M_{X_1}(t)^n. Example: if Xi∼Exp⁡(λ)X_i \sim \operatorname{Exp}(\lambda) are independent, then MS(t)=(λ/(λ−t))nM_S(t) = (\lambda/(\lambda - t))^n for t<λt < \lambda. This is the moment-generating function of the gamma distribution Gamma⁡(n,λ)\operatorname{Gamma}(n, \lambda).

Explanations

L1 human

When you add independent random variables, their moment-generating functions multiply. This makes it easy to identify the law of a sum, if you know which law has the product as its moment-generating function.

What this node needs for W1
  • an inventory row: the row of the inventory that the node accounts for (0 of 1)

The writing levels say how complete the text of a node is. They do not measure its truth.

What depends on this

1 node uses this node, directly or through other nodes.

Sources

  1. Web https://en.wikipedia.org/wiki/Moment_generating_function, Linear combination of independent random variables