Finding the Probability with Moment Generating Function
$begingroup$
This is a question in a book, but I don't know how to solve it.
Problem
if $X$ is a random variable with $M_X(t)=e^{2t+2t^2}$ then find $P{|X -frac{1}{2}|>2}$.
Question didn't say anything about $X$ distribution (discrete or continuous)
My Solution
Find exact value
for solve this I first try this fact that $$ M_X(ln(t))= psi_X(t) $$
and
$$frac{partial^k}{partial t^k}psi_X(t)|_{t=0}=k!f_X(k)$$
if I calculate $psi_X(t)$, it is:
$$psi_X(t)=t^2e^{2(lnt)^2}$$
but because of $t^2$ there is no easy way to calculate $psi_X(t)$ and if I put $k=0$, I couldn't find $f_x(0)$ because of $ln(0)$!!
Besides, I can only find $f(0), f(1), ...$ but I don't think that our distribution is discrete.
Find upper/lower
I want to know, Is there any way to find upper/lower for probability?
We find upper/lower for $P{|X -frac{1}{2}|>2}$ with Chebyshev inequality. We know that $mu=2$ and $sigma=2$ from $M_X(t)$ Derivations, but I couldn't convert given probability to this form:
$$P{|X-mu|<ksigma} ge 1-frac{1}{k^2}$$
Is it possible to show me how to convert it to above form?
Is it possible to show me something for solve this problem? Thanks.
statistics
$endgroup$
|
show 1 more comment
$begingroup$
This is a question in a book, but I don't know how to solve it.
Problem
if $X$ is a random variable with $M_X(t)=e^{2t+2t^2}$ then find $P{|X -frac{1}{2}|>2}$.
Question didn't say anything about $X$ distribution (discrete or continuous)
My Solution
Find exact value
for solve this I first try this fact that $$ M_X(ln(t))= psi_X(t) $$
and
$$frac{partial^k}{partial t^k}psi_X(t)|_{t=0}=k!f_X(k)$$
if I calculate $psi_X(t)$, it is:
$$psi_X(t)=t^2e^{2(lnt)^2}$$
but because of $t^2$ there is no easy way to calculate $psi_X(t)$ and if I put $k=0$, I couldn't find $f_x(0)$ because of $ln(0)$!!
Besides, I can only find $f(0), f(1), ...$ but I don't think that our distribution is discrete.
Find upper/lower
I want to know, Is there any way to find upper/lower for probability?
We find upper/lower for $P{|X -frac{1}{2}|>2}$ with Chebyshev inequality. We know that $mu=2$ and $sigma=2$ from $M_X(t)$ Derivations, but I couldn't convert given probability to this form:
$$P{|X-mu|<ksigma} ge 1-frac{1}{k^2}$$
Is it possible to show me how to convert it to above form?
Is it possible to show me something for solve this problem? Thanks.
statistics
$endgroup$
2
$begingroup$
MGFs of some standard distributions have a known form. In all those cases, you can identify the distribution just by looking at the MGF. The one in your question is a known MGF, that of a Normal distribution.
$endgroup$
– StubbornAtom
Dec 18 '18 at 19:34
$begingroup$
wow. it is great. I don't know this. however is there any other way to solve it? because this question is related to Chebyshev and Moment Generating Function not especial distributions? (we don't have normal table in question)
$endgroup$
– Amin
Dec 18 '18 at 19:44
$begingroup$
@Amin When you say Chebyshev, did you mean Chebyshev inequality? In that case, are you trying to calculate the probability precisely or upper bound it? Note that you can find the first and second moments of this distribution by expanding out the MGF (hint: write the series expansion of $e^x$) and collecting the terms with $t$ and $t^2$. After that, it will be easy to apply the inequality.
$endgroup$
– Aditya Dua
Dec 18 '18 at 20:10
$begingroup$
Yes. I mean Chebyshev inequality?. I did this in my question, at the bottom of question. however I couln't convert given probability to Chebyshev inequality form. Is it possible to help me?
$endgroup$
– Amin
Dec 18 '18 at 20:13
1
$begingroup$
The question seems to be asking for the exact value of $P(|X -frac{1}{2}|>2)$ so is unlikely to need the Chebyshev inequality. But you can find the mean and variance from the Moment Generating function
$endgroup$
– Henry
Dec 18 '18 at 23:42
|
show 1 more comment
$begingroup$
This is a question in a book, but I don't know how to solve it.
Problem
if $X$ is a random variable with $M_X(t)=e^{2t+2t^2}$ then find $P{|X -frac{1}{2}|>2}$.
Question didn't say anything about $X$ distribution (discrete or continuous)
My Solution
Find exact value
for solve this I first try this fact that $$ M_X(ln(t))= psi_X(t) $$
and
$$frac{partial^k}{partial t^k}psi_X(t)|_{t=0}=k!f_X(k)$$
if I calculate $psi_X(t)$, it is:
$$psi_X(t)=t^2e^{2(lnt)^2}$$
but because of $t^2$ there is no easy way to calculate $psi_X(t)$ and if I put $k=0$, I couldn't find $f_x(0)$ because of $ln(0)$!!
Besides, I can only find $f(0), f(1), ...$ but I don't think that our distribution is discrete.
Find upper/lower
I want to know, Is there any way to find upper/lower for probability?
We find upper/lower for $P{|X -frac{1}{2}|>2}$ with Chebyshev inequality. We know that $mu=2$ and $sigma=2$ from $M_X(t)$ Derivations, but I couldn't convert given probability to this form:
$$P{|X-mu|<ksigma} ge 1-frac{1}{k^2}$$
Is it possible to show me how to convert it to above form?
Is it possible to show me something for solve this problem? Thanks.
statistics
$endgroup$
This is a question in a book, but I don't know how to solve it.
Problem
if $X$ is a random variable with $M_X(t)=e^{2t+2t^2}$ then find $P{|X -frac{1}{2}|>2}$.
Question didn't say anything about $X$ distribution (discrete or continuous)
My Solution
Find exact value
for solve this I first try this fact that $$ M_X(ln(t))= psi_X(t) $$
and
$$frac{partial^k}{partial t^k}psi_X(t)|_{t=0}=k!f_X(k)$$
if I calculate $psi_X(t)$, it is:
$$psi_X(t)=t^2e^{2(lnt)^2}$$
but because of $t^2$ there is no easy way to calculate $psi_X(t)$ and if I put $k=0$, I couldn't find $f_x(0)$ because of $ln(0)$!!
Besides, I can only find $f(0), f(1), ...$ but I don't think that our distribution is discrete.
Find upper/lower
I want to know, Is there any way to find upper/lower for probability?
We find upper/lower for $P{|X -frac{1}{2}|>2}$ with Chebyshev inequality. We know that $mu=2$ and $sigma=2$ from $M_X(t)$ Derivations, but I couldn't convert given probability to this form:
$$P{|X-mu|<ksigma} ge 1-frac{1}{k^2}$$
Is it possible to show me how to convert it to above form?
Is it possible to show me something for solve this problem? Thanks.
statistics
statistics
edited Dec 19 '18 at 2:59
Amin
asked Dec 18 '18 at 19:17
AminAmin
355110
355110
2
$begingroup$
MGFs of some standard distributions have a known form. In all those cases, you can identify the distribution just by looking at the MGF. The one in your question is a known MGF, that of a Normal distribution.
$endgroup$
– StubbornAtom
Dec 18 '18 at 19:34
$begingroup$
wow. it is great. I don't know this. however is there any other way to solve it? because this question is related to Chebyshev and Moment Generating Function not especial distributions? (we don't have normal table in question)
$endgroup$
– Amin
Dec 18 '18 at 19:44
$begingroup$
@Amin When you say Chebyshev, did you mean Chebyshev inequality? In that case, are you trying to calculate the probability precisely or upper bound it? Note that you can find the first and second moments of this distribution by expanding out the MGF (hint: write the series expansion of $e^x$) and collecting the terms with $t$ and $t^2$. After that, it will be easy to apply the inequality.
$endgroup$
– Aditya Dua
Dec 18 '18 at 20:10
$begingroup$
Yes. I mean Chebyshev inequality?. I did this in my question, at the bottom of question. however I couln't convert given probability to Chebyshev inequality form. Is it possible to help me?
$endgroup$
– Amin
Dec 18 '18 at 20:13
1
$begingroup$
The question seems to be asking for the exact value of $P(|X -frac{1}{2}|>2)$ so is unlikely to need the Chebyshev inequality. But you can find the mean and variance from the Moment Generating function
$endgroup$
– Henry
Dec 18 '18 at 23:42
|
show 1 more comment
2
$begingroup$
MGFs of some standard distributions have a known form. In all those cases, you can identify the distribution just by looking at the MGF. The one in your question is a known MGF, that of a Normal distribution.
$endgroup$
– StubbornAtom
Dec 18 '18 at 19:34
$begingroup$
wow. it is great. I don't know this. however is there any other way to solve it? because this question is related to Chebyshev and Moment Generating Function not especial distributions? (we don't have normal table in question)
$endgroup$
– Amin
Dec 18 '18 at 19:44
$begingroup$
@Amin When you say Chebyshev, did you mean Chebyshev inequality? In that case, are you trying to calculate the probability precisely or upper bound it? Note that you can find the first and second moments of this distribution by expanding out the MGF (hint: write the series expansion of $e^x$) and collecting the terms with $t$ and $t^2$. After that, it will be easy to apply the inequality.
$endgroup$
– Aditya Dua
Dec 18 '18 at 20:10
$begingroup$
Yes. I mean Chebyshev inequality?. I did this in my question, at the bottom of question. however I couln't convert given probability to Chebyshev inequality form. Is it possible to help me?
$endgroup$
– Amin
Dec 18 '18 at 20:13
1
$begingroup$
The question seems to be asking for the exact value of $P(|X -frac{1}{2}|>2)$ so is unlikely to need the Chebyshev inequality. But you can find the mean and variance from the Moment Generating function
$endgroup$
– Henry
Dec 18 '18 at 23:42
2
2
$begingroup$
MGFs of some standard distributions have a known form. In all those cases, you can identify the distribution just by looking at the MGF. The one in your question is a known MGF, that of a Normal distribution.
$endgroup$
– StubbornAtom
Dec 18 '18 at 19:34
$begingroup$
MGFs of some standard distributions have a known form. In all those cases, you can identify the distribution just by looking at the MGF. The one in your question is a known MGF, that of a Normal distribution.
$endgroup$
– StubbornAtom
Dec 18 '18 at 19:34
$begingroup$
wow. it is great. I don't know this. however is there any other way to solve it? because this question is related to Chebyshev and Moment Generating Function not especial distributions? (we don't have normal table in question)
$endgroup$
– Amin
Dec 18 '18 at 19:44
$begingroup$
wow. it is great. I don't know this. however is there any other way to solve it? because this question is related to Chebyshev and Moment Generating Function not especial distributions? (we don't have normal table in question)
$endgroup$
– Amin
Dec 18 '18 at 19:44
$begingroup$
@Amin When you say Chebyshev, did you mean Chebyshev inequality? In that case, are you trying to calculate the probability precisely or upper bound it? Note that you can find the first and second moments of this distribution by expanding out the MGF (hint: write the series expansion of $e^x$) and collecting the terms with $t$ and $t^2$. After that, it will be easy to apply the inequality.
$endgroup$
– Aditya Dua
Dec 18 '18 at 20:10
$begingroup$
@Amin When you say Chebyshev, did you mean Chebyshev inequality? In that case, are you trying to calculate the probability precisely or upper bound it? Note that you can find the first and second moments of this distribution by expanding out the MGF (hint: write the series expansion of $e^x$) and collecting the terms with $t$ and $t^2$. After that, it will be easy to apply the inequality.
$endgroup$
– Aditya Dua
Dec 18 '18 at 20:10
$begingroup$
Yes. I mean Chebyshev inequality?. I did this in my question, at the bottom of question. however I couln't convert given probability to Chebyshev inequality form. Is it possible to help me?
$endgroup$
– Amin
Dec 18 '18 at 20:13
$begingroup$
Yes. I mean Chebyshev inequality?. I did this in my question, at the bottom of question. however I couln't convert given probability to Chebyshev inequality form. Is it possible to help me?
$endgroup$
– Amin
Dec 18 '18 at 20:13
1
1
$begingroup$
The question seems to be asking for the exact value of $P(|X -frac{1}{2}|>2)$ so is unlikely to need the Chebyshev inequality. But you can find the mean and variance from the Moment Generating function
$endgroup$
– Henry
Dec 18 '18 at 23:42
$begingroup$
The question seems to be asking for the exact value of $P(|X -frac{1}{2}|>2)$ so is unlikely to need the Chebyshev inequality. But you can find the mean and variance from the Moment Generating function
$endgroup$
– Henry
Dec 18 '18 at 23:42
|
show 1 more comment
1 Answer
1
active
oldest
votes
$begingroup$
Thanks for help from @StubbornAtom.
The given $M_X(t)$ is generator of Normal distribution with $mu=2$ and $sigma^2=4$ so this given probability is:
$$P{|X -frac{1}{2}|>2} = 1 - P{|X -frac{1}{2}| le 2} =
1 - P{-frac{3}{2} le X le frac{5}{2}}$$
If we convert $X$ to standard normal distribution with this change:
$$Z=frac{X-mu}{sigma}=frac{X-2}{2} $$
so given probability is:
$$1 - P{-frac{3}{2} le X le frac{5}{2}} = 1 - P{-1.7 le Z le 0.25} =
1-(P{Z le0.25} - P{Z le-1.7}) = 1 - (0.5987 - 0.0446) = 1 - 0.5541 = 0.4459$$
Thanks for help.
$endgroup$
add a comment |
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3045576%2ffinding-the-probability-with-moment-generating-function%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
Thanks for help from @StubbornAtom.
The given $M_X(t)$ is generator of Normal distribution with $mu=2$ and $sigma^2=4$ so this given probability is:
$$P{|X -frac{1}{2}|>2} = 1 - P{|X -frac{1}{2}| le 2} =
1 - P{-frac{3}{2} le X le frac{5}{2}}$$
If we convert $X$ to standard normal distribution with this change:
$$Z=frac{X-mu}{sigma}=frac{X-2}{2} $$
so given probability is:
$$1 - P{-frac{3}{2} le X le frac{5}{2}} = 1 - P{-1.7 le Z le 0.25} =
1-(P{Z le0.25} - P{Z le-1.7}) = 1 - (0.5987 - 0.0446) = 1 - 0.5541 = 0.4459$$
Thanks for help.
$endgroup$
add a comment |
$begingroup$
Thanks for help from @StubbornAtom.
The given $M_X(t)$ is generator of Normal distribution with $mu=2$ and $sigma^2=4$ so this given probability is:
$$P{|X -frac{1}{2}|>2} = 1 - P{|X -frac{1}{2}| le 2} =
1 - P{-frac{3}{2} le X le frac{5}{2}}$$
If we convert $X$ to standard normal distribution with this change:
$$Z=frac{X-mu}{sigma}=frac{X-2}{2} $$
so given probability is:
$$1 - P{-frac{3}{2} le X le frac{5}{2}} = 1 - P{-1.7 le Z le 0.25} =
1-(P{Z le0.25} - P{Z le-1.7}) = 1 - (0.5987 - 0.0446) = 1 - 0.5541 = 0.4459$$
Thanks for help.
$endgroup$
add a comment |
$begingroup$
Thanks for help from @StubbornAtom.
The given $M_X(t)$ is generator of Normal distribution with $mu=2$ and $sigma^2=4$ so this given probability is:
$$P{|X -frac{1}{2}|>2} = 1 - P{|X -frac{1}{2}| le 2} =
1 - P{-frac{3}{2} le X le frac{5}{2}}$$
If we convert $X$ to standard normal distribution with this change:
$$Z=frac{X-mu}{sigma}=frac{X-2}{2} $$
so given probability is:
$$1 - P{-frac{3}{2} le X le frac{5}{2}} = 1 - P{-1.7 le Z le 0.25} =
1-(P{Z le0.25} - P{Z le-1.7}) = 1 - (0.5987 - 0.0446) = 1 - 0.5541 = 0.4459$$
Thanks for help.
$endgroup$
Thanks for help from @StubbornAtom.
The given $M_X(t)$ is generator of Normal distribution with $mu=2$ and $sigma^2=4$ so this given probability is:
$$P{|X -frac{1}{2}|>2} = 1 - P{|X -frac{1}{2}| le 2} =
1 - P{-frac{3}{2} le X le frac{5}{2}}$$
If we convert $X$ to standard normal distribution with this change:
$$Z=frac{X-mu}{sigma}=frac{X-2}{2} $$
so given probability is:
$$1 - P{-frac{3}{2} le X le frac{5}{2}} = 1 - P{-1.7 le Z le 0.25} =
1-(P{Z le0.25} - P{Z le-1.7}) = 1 - (0.5987 - 0.0446) = 1 - 0.5541 = 0.4459$$
Thanks for help.
answered Dec 19 '18 at 11:30
AminAmin
355110
355110
add a comment |
add a comment |
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3045576%2ffinding-the-probability-with-moment-generating-function%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
2
$begingroup$
MGFs of some standard distributions have a known form. In all those cases, you can identify the distribution just by looking at the MGF. The one in your question is a known MGF, that of a Normal distribution.
$endgroup$
– StubbornAtom
Dec 18 '18 at 19:34
$begingroup$
wow. it is great. I don't know this. however is there any other way to solve it? because this question is related to Chebyshev and Moment Generating Function not especial distributions? (we don't have normal table in question)
$endgroup$
– Amin
Dec 18 '18 at 19:44
$begingroup$
@Amin When you say Chebyshev, did you mean Chebyshev inequality? In that case, are you trying to calculate the probability precisely or upper bound it? Note that you can find the first and second moments of this distribution by expanding out the MGF (hint: write the series expansion of $e^x$) and collecting the terms with $t$ and $t^2$. After that, it will be easy to apply the inequality.
$endgroup$
– Aditya Dua
Dec 18 '18 at 20:10
$begingroup$
Yes. I mean Chebyshev inequality?. I did this in my question, at the bottom of question. however I couln't convert given probability to Chebyshev inequality form. Is it possible to help me?
$endgroup$
– Amin
Dec 18 '18 at 20:13
1
$begingroup$
The question seems to be asking for the exact value of $P(|X -frac{1}{2}|>2)$ so is unlikely to need the Chebyshev inequality. But you can find the mean and variance from the Moment Generating function
$endgroup$
– Henry
Dec 18 '18 at 23:42