Moment generating function(M.G.F.

Definition:
Moment generating function of a random variable , denoted by
is defined as where is a real variable.

∫
{ }
Properties of Moment Generating Function:

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coefficient of In the expansion of in series of powers of

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If the moment generating function of is and if then

If are independent random variable and then

Example: 1
If X represents the outcome, when a fair die is tossed, find the moment generating
function of and hence find
Solution:

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Example: 2
If a random variable has the moment generating function obtain the mean

and variance of
Solution:

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[ ( )] [ ]

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Example: 3
( )
If a random variable has the moment generating function mean
and variance.
Solution:

( ) ( )
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( ) ( )
[ ( )] [ { }]

( ) ( )
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