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  • N Normal Distribution - Expectations: S S S S S S

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    Xcalibur1101
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    1) The expected value (E) of a standard normal random variable (Z) is 0, and the variance (V) is 1. For any normal random variable Y with mean μ and variance σ^2, E(Y)=μ and V(Y)=σ^2. 2) For a gamma distribution with shape parameter D and scale parameter E, the expected value is DE and the variance is DE^2. 3) The moment generating function (MGF) of a normal random variable Y with mean μ and variance σ^2 is M(t) = e^(tμ + t^2σ^2/2). The MGF of a gamma random variable incorporates the shape

    Original Description:

    This is some provings for gamma mgf, mean and variance.

    Original Title

    Proving

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    1) The expected value (E) of a standard normal random variable (Z) is 0, and the variance (V) is 1. For any normal random variable Y with mean μ and variance σ^2, E(Y)=μ and V(Y)=σ^2. 2) For a gamma distribution with shape parameter D and scale parameter E, the expected value is DE and the variance is DE^2. 3) The moment generating function (MGF) of a normal random variable Y with mean μ and variance σ^2 is M(t) = e^(tμ + t^2σ^2/2). The MGF of a gamma random variable incorporates the shape

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    © All Rights Reserved
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    36 views4 pages

    N Normal Distribution - Expectations: S S S S S S

    Uploaded by

    Xcalibur1101
    1) The expected value (E) of a standard normal random variable (Z) is 0, and the variance (V) is 1. For any normal random variable Y with mean μ and variance σ^2, E(Y)=μ and V(Y)=σ^2. 2) For a gamma distribution with shape parameter D and scale parameter E, the expected value is DE and the variance is DE^2. 3) The moment generating function (MGF) of a normal random variable Y with mean μ and variance σ^2 is M(t) = e^(tμ + t^2σ^2/2). The MGF of a gamma random variable incorporates the shape

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    © All Rights Reserved
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    of 4

    Normal Distribution - Expectations

    1  12 z 2
    Z ~ N (0,1) f ( z ) e
    2S
    f
    f 1  12 z 2 1 f
    1
     z2 1  12 z 2
    E (Z ) f z 2S e dz 2S
    f
    ze 2
    dz e
    2S

    f
    0  (0) 0

    1  12 z 2
    1 f 2  2 z2
    1
    E Z
    f
    f z 2S e dz 0 z e dz
    2 2
    2
    2S
    1
    Changing Variables: u z 2 du 2 zdz du zdz
    2
    1
    1 f 2  2 z2 2 f  12 z 2 2 f u 2 1
    2 0 z e dz ze zdz ue du
    2S 2S 0
    2S 0
    2
    1 f
    3 2 1 1 3 1 1 1 3/2 23 2 S

    u 2
    u e du * 23 2 * 2 1
    2S 0
    2S 2 2S 2 2 2 2S
    E Z 2  > E ( Z )@
    2
    V (Z ) 1  02 1 V 1
    Note: If Y ~ N P , V 2 then Y P  ZV
    E (Y ) E ( P  ZV ) P  V E ( Z ) P  V (0) P
    V (Y ) V ( P  ZV ) V 2V ( Z ) V 2 (1) V 2
    Normal Distribution - MGF
    1 1 y  P
    2
    1 y2 yP P 2
    E e e
    f f
    M (t ) exp  dy exp  2  2  2  ty dy
    tY ty
    f 2SV 2 2 V 2
    2SV 2 f 2V V 2V

    1 f y2 y ( P  tV 2 ) P 2
    exp  2V 2  V 2  2V 2 dy
    2SV 2 f
    P 2  2 P tV 2  tV 2
    2
    Completing the square: ( P  tV 2 ) 2

    y ( P  tV 2 ) P 2 2 P tV  tV 2 P tV  tV
    2 2 2 2 2 2 2
    1 y f

    2 f
    M (t ) exp  2   2  dy
    2SV 2V V 2
    2V 2 V 2
    2 V 2

    y ( P  tV 2 ) P  2 P tV  tV 2 P tV  tV
    2 2 2 2 2 2 2 2
    1 f y
    exp  2V 2  V 2 
    2SV 2 f 2V 2
    
    2 V 2 dy

    1 f
     dy
    y  ( P  tV 2 ) 2 2 P tV 2  tV 2 2
    1

    2SV 2 f
    exp 
    2 V 2
    2V 2

    2 P tV 2  tV 2 2 f 2

    1 y  ( P  tV )
    2
    1
    exp f exp  dy
    2 V 2
    2SV 2 2
    V 2


    The last integral being 1, since it is integrating over the density of a normal R.V.: Y ~ N P  tV 2 , V 2
    2 P tV 2  tV 2 2
    t 2V 2
    M (t ) exp exp P t 
    2 V 2
    2
    Gamma Distribution - Expectations
    f 1 D 1  y E 1 f
    E (Y ) y D
    y e dy D 0
    y D y E
    e dy
    0
    *(D ) E *(D ) E
    1 f 1 *(D  1) E
    *(D ) E D 0
    (D 1) 1  y E D 1
    y e dy * (D  1) E
    *(D ) E D *(D )
    D*(D ) E
    DE
    *(D )
    1 D 1  y E 1
    E Y
    f f
    yD 1e  y E dy
    2 2
    y D
    y e dy
    0
    *(D ) E *(D ) E D 0

    1 f 1 *(D  2) E 2
    *(D ) E D
    0
    y (D  2) 1e  y E dy
    *(D ) E D
    *(D  2) E D  2
    *(D )
    (D  1)*(D  1) E 2 (D  1)D*(D ) E 2
    (D  1)DE
    *(D ) *(D )
    E Y 2  > E (Y ) @
    2
    V (Y ) (D  1)DE  (DE ) 2 D 2 E 2  DE 2  D 2 E 2 DE 2
    V E D
    Gamma Distribution - MGF
    1 D 1  y E
    E e
    f
    M (t ) tY
    ety D
    y e dy
    0
    *(D ) E
    1 1 E t
    1 f  y t 1 f  y
    D 0 D 0
    D 1 E D 1 E
    y e dy y e dy
    *(D ) E *(D ) E
    1 f E
    *(D ) E D 0
    D 1  y E *
    y e dy where E *

    1 Et
    1
    M (t )
    *(D ) E D
    * ( D ) E
    * D
    (1  E t ) D

    M '(t ) D (1  E t ) D 1 ( E ) DE (1  E t ) D 1
    M ''(t ) (D  1)DE (1  E t ) D  2 ( E ) D (D  1) E 2 (1  E t ) D  2

    E (Y ) M '(0) DE
    M ''(0)  > M '(0) @
    2
    V (Y ) D (D  1) E 2  (DE ) 2 DE 2

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