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Math Help - Moment-Generating Function - Need help!!!

  1. #1
    Yan
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    Moment-Generating Function - Need help!!!

    Find the moment-generating function of the negative binomial distribution by making use of the fact that if k independent random variable have geometric distributions with the same parameter Θ, their sum is random variable having the negative binomial distribution with the parameters Θ and k.
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    MHF Contributor matheagle's Avatar
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    Let Y=\sum_{i=1}^kX_i where the X's are i.i.d. Geometrics, which parameter theta. NOW, be careful, not all Geo's are defined the same, it depends if you count the trivial in which that success happens or not. If P(X_1=x)=\theta(1-\theta)^{x-1}, then X's MGF is
    M(t)={\theta e^t\over 1-(1-\theta)e^t}.
    Then by independence, the MGF of Y is
    E(e^{Yt})=E(e^{(X_1+\cdots +X_k)t})=E(e^{X_1t})\cdots <br />
E(e^{X_kt})={\theta e^t\over 1-(1-\theta)e^t}\cdots {\theta e^t\over 1-(1-\theta)e^t}
    =\biggl({\theta e^t\over 1-(1-\theta)e^t}\biggr)^k.
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