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Math Help - Probability and Moment Generating Functions

  1. #1
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    Unhappy Probability and Moment Generating Functions

    Hello,

    I am terrible when it comes to probability and moment generating functions. I missed 2 lectures this week and I am now completely lost on the topic.I have two questions that I need to do by tomorrow and I was hoping if shown how to do one of the questions, I could work out the other one myself as it is similar.

    Here is the first question:

    Let Xn be a discrete random variable that takes the values 1,2,...,n with equal probability 1/n. Find the probability generating function of Xn and then determine its moment generating function. Determine the moment generating function of Yn = Xn/n. Show that the moment generating function of Yn = Xn/n converges pointwise to the moment generating function of a random variable that is uniformly distributed on (0,1).


    I know this is a lot to do, so even if someone could tell me what it is I have to do here would be great. Like I said, I missed 2 lectures so Ive tried to learn this concept on my own, and have had nobody to correct any assumptions I make that are incorrect. Thank-you.
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  2. #2
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    Quote Originally Posted by arguabsysi View Post
    Hello,

    I am terrible when it comes to probability and moment generating functions. I missed 2 lectures this week and I am now completely lost on the topic.I have two questions that I need to do by tomorrow and I was hoping if shown how to do one of the questions, I could work out the other one myself as it is similar.

    Here is the first question:

    Let Xn be a discrete random variable that takes the values 1,2,...,n with equal probability 1/n. Find the probability generating function of Xn and then determine its moment generating function. Determine the moment generating function of Yn = Xn/n. Show that the moment generating function of Yn = Xn/n converges pointwise to the moment generating function of a random variable that is uniformly distributed on (0,1).


    I know this is a lot to do, so even if someone could tell me what it is I have to do here would be great. Like I said, I missed 2 lectures so Ive tried to learn this concept on my own, and have had nobody to correct any assumptions I make that are incorrect. Thank-you.
    This will get you started:

    Probability generating function: Read Generating Functions.

    So G_{X_n} (t) = E(t^{X_n}) = \sum_{j = 1}^{n} \frac{t^j}{n} = \frac{1}{n} \sum_{j = 1}^{n} t^j.


    Moment generating function: Read Moment-generating function - Wikipedia, the free encyclopedia.

    So m_{X_{n}} (t) = E \left( e^{tX} \right) = \sum_{j = 1}^{n} \frac{e^{jt}}{n} = \frac{1}{n} \sum_{j = 1}^{n} e^{jt}.


    The moment generating function of Y = aX + b is m_Y (t) = e^{bt} \, m_X(at): See Moment Generating Function.

    In your question a = \frac{1}{n} and b = 0.


    The moment generating function of a random variable distributed uniformly on (a, b) is  \frac{e^{bt} - e^{at}}{t(b - a)}: See Uniform distribution (continuous) - Wikipedia, the free encyclopedia.

    Substitute a = 0 and b = 1 to get the answer your shooting for when finding \lim_{n \rightarrow \infty} m_Y (t) ......
    Last edited by mr fantastic; May 22nd 2008 at 04:05 AM. Reason: Fixed a dodgy hyperlink and some dodgy latex
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  3. #3
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    Thank-you so much. I'll see what I can come up with.
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