120 likes | 310 Vues
Tutorial 5. Generating Functions. Generating Functions. Generating functions are tools for studying distributions of R.V.’s in a different domain. (c.f. Fourier transform of a signal from time to frequency domain) Moment Generating Function g X ( t )= E [ e tX ]
E N D
Tutorial 5 Generating Functions
Generating Functions • Generating functions are tools for studying distributions of R.V.’s in a different domain. (c.f. Fourier transform of a signal from time to frequency domain) • Moment Generating Function gX (t)=E[etX] • Ordinary Generating Function hX (z)= E[ZX] • o.g.f. is also called z-transform which is applied to discrete R.V’s only.
z-transform • We illustrate the use of g.f.’s by z-transform: • Let a non-negative discrete r.v. X with p.m.f. {pk, k = 0,1,…}, z is a complex no. • The z-transform of {pk} is hX(z) = p0 + p1z + p2z2+ …… = pkzk • It can be easily seen that pkzk = E[zX]
z-transform • We can obtain many useful properties of r.v. X from hX(z). • First, we can observe that • hX(0) = p0 + p10+ p202+ …… = p0 • hX(1) = p0 + p11+ p212+ …… = 1 • By differentiate hX(z), we can get the mean and variance of X.
Mean by z-transform • Put z = 1, we get • hX’(1) is the mean of of X. • Similarly,
Variance by z-transform • E[X2] is called the 2nd moment of X. • In general, E[Xk] is called the k-th moment of X. We can get E[Xk] from successive derivatives of hX (z). • Since Var(X) = E[X2] - E[X]2, we get
Example - Bernoulli Distr. • Find the mean and variance of a Bernoulli distr. by z-transform. P(X=1) = p, P(X=0) = 1-p
Example - Bernoulli Distr. • E[X] = hX’(1) = p
Finding pj from g(t) and h(z) • If we know g(t), then we know h(z), then we can find the pj :
m.g.f. of sum of R.V.’s • On the other hand, the moment generating function of p.d.f. fX is • The m.g.f. of fX+Y is:
m.g.f. of sum of R.V.’s • We have obtained an important property: • If S = X+Y, where X & Y are independent. • In general, if p.d.f. m.g.f.