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PSLecture5 2022
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MA20205
Bibhas Adhikari
Lecture 5
August 29, 2022
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 1 / 49
Discrete random variables
Review of last week
Random variables: X : S → R
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 27 / 49
Discrete random variables
Review of last week
Random variables: X : S → R
Describing events through random variables:
a ≤ X ≤ b = {s ∈ S : a ≤ X (s) ≤ b}
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 27 / 49
Discrete random variables
Review of last week
Random variables: X : S → R
Describing events through random variables:
a ≤ X ≤ b = {s ∈ S : a ≤ X (s) ≤ b}
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 27 / 49
Discrete random variables
Review of last week
Random variables: X : S → R
Describing events through random variables:
a ≤ X ≤ b = {s ∈ S : a ≤ X (s) ≤ b}
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 27 / 49
Discrete random variables
Review of last week
Random variables: X : S → R
Describing events through random variables:
a ≤ X ≤ b = {s ∈ S : a ≤ X (s) ≤ b}
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 27 / 49
Discrete random variables
Review of last week
Random variables: X : S → R
Describing events through random variables:
a ≤ X ≤ b = {s ∈ S : a ≤ X (s) ≤ b}
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 27 / 49
Discrete random variables
Cumulative distribution function
Let X be a discrete random variable with range space RX = {x1 , x2 , . . .}.
Then
k
X
F (xk ) = P(X ≤ xk ) = p(xl )
l=1
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 28 / 49
Discrete random variables
Cumulative distribution function
Let X be a discrete random variable with range space RX = {x1 , x2 , . . .}.
Then
k
X
F (xk ) = P(X ≤ xk ) = p(xl )
l=1
1 1
Example: Let X be a random variable with pdf p(0) = , p(1) = ,
4 2
1
p(4) = . Then
4
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 28 / 49
Discrete random variables
Cumulative distribution function
Let X be a discrete random variable with range space RX = {x1 , x2 , . . .}.
Then
k
X
F (xk ) = P(X ≤ xk ) = p(xl )
l=1
1 1
Example: Let X be a random variable with pdf p(0) = , p(1) = ,
4 2
1
p(4) = . Then
4
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 28 / 49
Discrete random variables
Let F (x) be the cdf of a random variable X with RX = {x1 , . . . , xk } such
that x1 < x2 < . . . < xk . Then
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 29 / 49
Discrete random variables
Let F (x) be the cdf of a random variable X with RX = {x1 , . . . , xk } such
that x1 < x2 < . . . < xk . Then
f (x1 ) = F (x1 )
f (x2 ) = F (x2 ) − F (x1 )
..
.
f (xk ) = F (xk ) − F (xk−1 )
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 29 / 49
Discrete random variables
Let F (x) be the cdf of a random variable X with RX = {x1 , . . . , xk } such
that x1 < x2 < . . . < xk . Then
f (x1 ) = F (x1 )
f (x2 ) = F (x2 ) − F (x1 )
..
.
f (xk ) = F (xk ) − F (xk−1 )
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 29 / 49
Discrete random variables
Let F (x) be the cdf of a random variable X with RX = {x1 , . . . , xk } such
that x1 < x2 < . . . < xk . Then
f (x1 ) = F (x1 )
f (x2 ) = F (x2 ) − F (x1 )
..
.
f (xk ) = F (xk ) − F (xk−1 )
Properties of cdf
(a) F (−∞) =
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 29 / 49
Discrete random variables
Let F (x) be the cdf of a random variable X with RX = {x1 , . . . , xk } such
that x1 < x2 < . . . < xk . Then
f (x1 ) = F (x1 )
f (x2 ) = F (x2 ) − F (x1 )
..
.
f (xk ) = F (xk ) − F (xk−1 )
Properties of cdf
(a) F (−∞) = 0
(b) F (∞) =
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 29 / 49
Discrete random variables
Let F (x) be the cdf of a random variable X with RX = {x1 , . . . , xk } such
that x1 < x2 < . . . < xk . Then
f (x1 ) = F (x1 )
f (x2 ) = F (x2 ) − F (x1 )
..
.
f (xk ) = F (xk ) − F (xk−1 )
Properties of cdf
(a) F (−∞) = 0
(b) F (∞) = 1
(c) F (x) is an increasing function: if x < y then F (x) < F (y )
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 29 / 49
Continuous random variables
examples:
(1) Suppose we are concerned with the possibility that an accident will
occur on a highway that is 1000 kilometers long and that we are
interested in the probability that it will occur at a given location, or
perhaps on a given stretch of the road. Then the sample space is the
(continuous) interval [0, 1000]
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 30 / 49
Continuous random variables
examples:
(1) Suppose we are concerned with the possibility that an accident will
occur on a highway that is 1000 kilometers long and that we are
interested in the probability that it will occur at a given location, or
perhaps on a given stretch of the road. Then the sample space is the
(continuous) interval [0, 1000]
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 30 / 49
Continuous random variables
Properties of probability density function (pdf)
If a function f : R → R represents a pdf of a continuous random variable
X then
f (x) ≥ 0 for x ∈ R
R∞
−∞ f (x)dx = 1
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 31 / 49
Continuous random variables
Properties of probability density function (pdf)
If a function f : R → R represents a pdf of a continuous random variable
X then
f (x) ≥ 0 for x ∈ R
R∞
−∞ f (x)dx = 1
pdf
If f is the pdf of a r.v. X then for an event A = [a, b] :
Z b
P(a ≤ X ≤ b) = f (x)dx
a
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 31 / 49
Continuous random variables
Question: What is P(X = x) for any continuous r.v. X ?
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 32 / 49
Continuous random variables
Question: What is P(X = x) for any continuous r.v. X ?
pmf and pdf
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 32 / 49
Continuous random variables
Question: What is P(X = x) for any continuous r.v. X ?
pmf and pdf
Example: Let X denote the phase angle of a voltage signal. Assume that
X has an equal probability for any value between 0 to 2π. Then find the
pdf of X and compute P(0 ≤ X ≤ π/2).
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 32 / 49
Continuous random variables
Question: What is P(X = x) for any continuous r.v. X ?
pmf and pdf
Example: Let X denote the phase angle of a voltage signal. Assume that
X has an equal probability for any value between 0 to 2π. Then find the
pdf of X and compute P(0 ≤ X ≤ π/2).
1 1
f (x) = , 0 ≤ x ≤ 2π, P(0 ≤ X ≤ π/2) =
2π 4
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 32 / 49
Continuous random variables
Question: What is P(X = x) for any continuous r.v. X ?
pmf and pdf
Example: Let X denote the phase angle of a voltage signal. Assume that
X has an equal probability for any value between 0 to 2π. Then find the
pdf of X and compute P(0 ≤ X ≤ π/2).
1 1
f (x) = , 0 ≤ x ≤ 2π, P(0 ≤ X ≤ π/2) =
2π 4
Problems..
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 32 / 49
Continuous random variables
cdf
Let f (x) be a pdf of a continuous r.v. X . Then the cdf of X is defined by
Z x
F (x) = P(X ≤ x) = f (x)dx, x ∈ R
−∞
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 33 / 49
Continuous random variables
cdf
Let f (x) be a pdf of a continuous r.v. X . Then the cdf of X is defined by
Z x
F (x) = P(X ≤ x) = f (x)dx, x ∈ R
−∞
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 33 / 49
Continuous random variables
cdf
Let f (x) be a pdf of a continuous r.v. X . Then the cdf of X is defined by
Z x
F (x) = P(X ≤ x) = f (x)dx, x ∈ R
−∞
properties
(1) non-decreasing
(2) F (∞) = 1 and F (−∞) = 0
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 33 / 49
Continuous random variables
Proposition:
(1) P(X < x) = F (x)
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 34 / 49
Continuous random variables
Proposition:
(1) P(X < x) = F (x)
(2) P(X > x) = 1 − F (x)
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 34 / 49
Continuous random variables
Proposition:
(1) P(X < x) = F (x)
(2) P(X > x) = 1 − F (x)
(3) P(a ≤ X ≤ b) = F (b) − F (a)
Question How to obtain pdf from cdf?
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 34 / 49
Continuous random variables
Proposition:
(1) P(X < x) = F (x)
(2) P(X > x) = 1 − F (x)
(3) P(a ≤ X ≤ b) = F (b) − F (a)
Question How to obtain pdf from cdf?
d
F (x) = f (x)
dx
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 34 / 49
Continuous random variables
Proposition:
(1) P(X < x) = F (x)
(2) P(X > x) = 1 − F (x)
(3) P(a ≤ X ≤ b) = F (b) − F (a)
Question How to obtain pdf from cdf?
d
F (x) = f (x)
dx
The proof follows from fundamental theorem of calculus:
Z x
d d dx
F (x) = f (t)dt = f (x) = f (x).
dx dx −∞ dx
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 34 / 49
Key parameters for analyzing continuous random variables
Percentile
Let p be a number between 0 to 1. Then 100p-th percentile of a
continuous r,v, is a real number q such that
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 35 / 49
Key parameters for analyzing continuous random variables
Percentile
Let p be a number between 0 to 1. Then 100p-th percentile of a
continuous r,v, is a real number q such that
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 35 / 49
Key parameters for analyzing continuous random variables
Percentile
Let p be a number between 0 to 1. Then 100p-th percentile of a
continuous r,v, is a real number q such that
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 35 / 49
Key parameters for analyzing continuous random variables
Percentile
Let p be a number between 0 to 1. Then 100p-th percentile of a
continuous r,v, is a real number q such that
Problems...
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 35 / 49
Key parameters for analyzing continuous random variables
Definition
The 25-th and 75-th percentiles are called first and third quartiles
respectively. The 50-th percentile is called the median of the random
variable.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 36 / 49
Key parameters for analyzing continuous random variables
Definition
The 25-th and 75-th percentiles are called first and third quartiles
respectively. The 50-th percentile is called the median of the random
variable.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 36 / 49
Key parameters for analyzing continuous random variables
Definition
A mode of a continuous random variable X is the value of x such that the
pdf f (x) attains a relative/local maximum.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 37 / 49
Key parameters for analyzing continuous random variables
Definition
A mode of a continuous random variable X is the value of x such that the
pdf f (x) attains a relative/local maximum.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 37 / 49
Key parameters for analyzing random variables
Moments
The nth moment about the origin of a random variable X is defined by
P
n
x∈RX x f (x) if X is discrete
n
E (X ) =
R ∞ n
−∞ x f (x)dx if X is continuous
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 38 / 49
Key parameters for analyzing random variables
Moments
The nth moment about the origin of a random variable X is defined by
P
n
x∈RX x f (x) if X is discrete
n
E (X ) =
R ∞ n
−∞ x f (x)dx if X is continuous
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 38 / 49
Key parameters for analyzing random variables
Moments
The nth moment about the origin of a random variable X is defined by
P
n
x∈RX x f (x) if X is discrete
n
E (X ) =
R ∞ n
−∞ x f (x)dx if X is continuous
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 38 / 49
Key parameters for analyzing random variables
Moments
The nth moment about the origin of a random variable X is defined by
P
n
x∈RX x f (x) if X is discrete
n
E (X ) =
R ∞ n
−∞ x f (x)dx if X is continuous
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 39 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 39 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 39 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 40 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 40 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 40 / 49
Key parameters for analyzing random variables
σ 2 = Var(X ) = E (X − µ)2 = E (X 2 ) − µ2 .
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 41 / 49
Key parameters for analyzing random variables
σ 2 = Var(X ) = E (X − µ)2 = E (X 2 ) − µ2 .
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 41 / 49
Key parameters for analyzing random variables
σ 2 = Var(X ) = E (X − µ)2 = E (X 2 ) − µ2 .
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 41 / 49
Key parameters for analyzing random variables
σ 2 = Var(X ) = E (X − µ)2 = E (X 2 ) − µ2 .
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 41 / 49
Random variables
Observation:
(1) σ 2 is the weighted average of the square of distances from mean to
the values that X can take :
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 42 / 49
Random variables
Observation:
(1) σ 2 is the weighted average of the square of distances from mean to
the values that X can take : σ 2 or σ measures the spread of the
distribution of X
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 42 / 49
Random variables
Observation:
(1) σ 2 is the weighted average of the square of distances from mean to
the values that X can take : σ 2 or σ measures the spread of the
distribution of X
(2) The spread can also be measured by the area between two values
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 42 / 49
Random variables
Observation:
(1) σ 2 is the weighted average of the square of distances from mean to
the values that X can take : σ 2 or σ measures the spread of the
distribution of X
(2) The spread can also be measured by the area between two values
(3) Conclusion: σ controls the area between two values
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 42 / 49
Key parameters for analyzing random variables
Markov inequality: Let X be a non-negative random variable. Then
E (X )
P(X ≥ ϵ) ≤
ϵ
for any ϵ > 0.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 43 / 49
Key parameters for analyzing random variables
Markov inequality: Let X be a non-negative random variable. Then
E (X )
P(X ≥ ϵ) ≤
ϵ
for any ϵ > 0.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 43 / 49
Key parameters for analyzing random variables
Markov inequality: Let X be a non-negative random variable. Then
E (X )
P(X ≥ ϵ) ≤
ϵ
for any ϵ > 0.
The proof:
Z ∞ Z ∞ Z ∞
ϵP(X ≥ ϵ) = ϵf (x)dx ≤ xf (x)dx ≤ xf (x)dx = E (X )
ϵ ϵ 0
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 43 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 44 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 44 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 44 / 49
Key parameters for analyzing random variables
σ2 1
P(|X − µ| ≥ kσ) ≤ 2 2
= 2,
k σ k
for any positive constant k
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 45 / 49
Key parameters for analyzing random variables
σ2 1
P(|X − µ| ≥ kσ) ≤ 2 2
= 2,
k σ k
for any positive constant k
Alternative: Setting ϵ = kσ,
1
P(|X − µ| < kσ) ≥ 1 −
k2
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 45 / 49
Key parameters for analyzing random variables
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 46 / 49
Key parameters for analyzing random variables
is called mgf of X if the expectation exists in some interval [−h, h], h > 0.
Thus P
tx
x∈RX e f (x) if X is discrete
M(t) =
R ∞
tx f (x)dx
−∞ e if X is continuous
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 46 / 49
Key parameters for analyzing random variables
Observation
d d d tX
M(t) = E (e tx ) = E = E Xe tX
(1) e
dt dt dt
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 47 / 49
Key parameters for analyzing random variables
Observation
d d d tX
M(t) = E (e tx ) = E = E Xe tX
(1) e
dt dt dt
d 2
M(t) = E X 2 e tX
(2) 2
dt
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 47 / 49
Key parameters for analyzing random variables
Observation
d d d tX
M(t) = E (e tx ) = E = E Xe tX
(1) e
dt dt dt
d 2
M(t) = E X 2 e tX Similarly
(2) 2
dt
dn
M(t) = E X n e tX
(3) n
dt
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 47 / 49
Key parameters for analyzing random variables
Observation
d d d tX
M(t) = E (e tx ) = E = E Xe tX
(1) e
dt dt dt
d 2
M(t) = E X 2 e tX Similarly
(2) 2
dt
dn
M(t) = E X n e tX
(3) n
dt
Setting t = 0,
dn
n tX
M(t) | t=0 = E X e |t=0 = E (X n )
dt n
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 47 / 49
Key parameters for analyzing random variables
Observation
d d d tX
M(t) = E (e tx ) = E = E Xe tX
(1) e
dt dt dt
d 2
M(t) = E X 2 e tX Similarly
(2) 2
dt
dn
M(t) = E X n e tX
(3) n
dt
Setting t = 0,
dn
n tX
M(t) | t=0 = E X e |t=0 = E (X n )
dt n
Theorem If M(t) = a0 + a1 t + a2 t 2 + . . . + an t n + . . . is the Taylor
expansion of M(t) then E (X n ) = n!an for all n.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 47 / 49
Key parameters for analyzing random variables
Observation
d d d tX
M(t) = E (e tx ) = E = E Xe tX
(1) e
dt dt dt
d 2
M(t) = E X 2 e tX Similarly
(2) 2
dt
dn
M(t) = E X n e tX
(3) n
dt
Setting t = 0,
dn
n tX
M(t) | t=0 = E X e |t=0 = E (X n )
dt n
Theorem If M(t) = a0 + a1 t + a2 t 2 + . . . + an t n + . . . is the Taylor
expansion of M(t) then E (X n ) = n!an for all n.
Proof is obvious.
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 47 / 49
Key parameters for analyzing random variables
Observation
d d d tX
M(t) = E (e tx ) = E = E Xe tX
(1) e
dt dt dt
d 2
M(t) = E X 2 e tX Similarly
(2) 2
dt
dn
M(t) = E X n e tX
(3) n
dt
Setting t = 0,
dn
n tX
M(t) | t=0 = E X e |t=0 = E (X n )
dt n
Theorem If M(t) = a0 + a1 t + a2 t 2 + . . . + an t n + . . . is the Taylor
expansion of M(t) then E (X n ) = n!an for all n.
Proof is obvious.
Problems...
Bibhas Adhikari (Autumn 2022-23, IIT Kharagpur) Proability and Statistics Lecture 5 August 29, 2022 47 / 49