Moment Generating Function of Geometric Distribution/Formulation 1/Examples/Second Moment
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Examples of Use of Moment Generating Function of Geometric Distribution
Let $X \sim \Geometric p$ for some $0 < p < 1$, where $\Geometric p$ is the Geometric distribution.
- $\map X \Omega = \set {0, 1, 2, \ldots} = \N$
- $\map \Pr {X = k} = \paren {1 - p} p^k$
The second moment generating function of $X$ is given by:
- $\map { {M_X}} t = p \paren {1 - p} e^t \paren {\dfrac {1 + p e^t} {\paren {1 - p e^t}^3} }$
Proof
We have:
\(\ds \map { {M_X}} t\) | \(=\) | \(\ds \frac \d {\d t} \map { {M_X}'} t\) | Definition of Moment Generating Function | |||||||||||
\(\ds \) | \(=\) | \(\ds \frac \d {\d t} \dfrac {p \paren {1 - p} e^t} {\paren {1 - p e^t}^2}\) | First Moment | |||||||||||
\(\ds \) | \(=\) | \(\ds p \paren {1 - p} \frac \d {\d t} \paren {e^t \paren {1 - p e^t}^{-2} }\) | factoring out the $p \paren {1 - p}$ | |||||||||||
\(\ds \) | \(=\) | \(\ds p \paren {1 - p} \paren {e^t \paren {1 - p e^t}^{-2} + e^t \paren {-2 \paren {1 - p e^t}^{-3} } \paren {-p e^t} }\) | Product Rule for Derivatives, Chain Rule for Derivatives, Derivative of Power, Derivative of Exponential Function | |||||||||||
\(\ds \) | \(=\) | \(\ds p \paren {1 - p} \paren {\dfrac {e^t} {\paren {1 - p e^t}^2} \dfrac {\paren {1 - p e^t} } {\paren {1 - p e^t} } + \dfrac {2 p e^{2 t} } {\paren {1 - p e^t}^3} }\) | multiplying by $1$ | |||||||||||
\(\ds \) | \(=\) | \(\ds p \paren {1 - p} e^t \paren {\dfrac {1 + p e^t} {\paren {1 - p e^t}^3} }\) | simplifying |
$\blacksquare$