An Introduction to Mathematical Statistics and Its Applications (6th Edition)

Published by Pearson
ISBN 10: 0-13411-421-3
ISBN 13: 978-0-13411-421-7

Chapter 3 Random Variables - 3.12 Moment-Generating Functions - Questions - Page 209: 6

Answer

$\color{blue}{\displaystyle \left(\frac{1-e^t}{t}\right)^2}$

Work Step by Step

$Y$ has pdf: $f_Y(y) = \begin{cases} y,& 0\le y\le 1\\ 2-y,& 1\le y\le 2 \\ 0, & \text{elsewhere} \end{cases}$ $\begin{align*} M_Y(t) &= E(e^{Yt}) \\ &= \int_{-\infty}^\infty e^{yt}f_Y(y)\ dy \\ &= \int_0^1 ye^{yt}\ dy + \int_1^2 (2-y)e^{yt}\ dy \qquad \text{[ since}\ f_Y(y)=0, y\not\in [1,2]\ ] \\ &= \underbrace{\int_0^1 ye^{yt}\ dy}_{\text{IBP}} + \int_1^2 2e^{yt}\ dy - \underbrace{\int_1^2 ye^{yt}\ dy}_{\text{IBP}} \\ & \\ & \qquad\text{Use integration by parts (IBP):} \\ & \qquad \begin{array}{l|l} u = y & dv = e^{yt}\ dy \\ \hline du = dy & \displaystyle v = \frac{e^{yt}}{t} \end{array} \\ & \qquad \int u\ dv = uv-\int v\ du \\ & \qquad \int ye^{yt}\ dy = y\frac{e^{yt}}{t} - \int \frac{e^{yt}}{t}\ dy \\ & \\ &= \Biggl(\left( y\frac{e^{yt}}{t}\ \right\vert_0^1 - \int_0^1 \frac{e^{yt}}{t}\ dy \Biggr) + \left( 2\frac{e^{yt}}{t}\ \right\vert_1^2 + \Biggl(\left( y\frac{e^{yt}}{t}\ \right\vert_1^2 - \int_1^2 \frac{e^{yt}}{t}\ dy\Biggr) \\ &= \Biggl(\left(1\frac{e^t}{t}-0\frac{e^{0t}}{t}\right) - \left(\frac{e^{yt}}{t^2}\ \right\vert_0^1 \Biggr) + 2\left(\frac{e^{2t}}{t} - \frac{e^{t}}{t} \right) \\ & \qquad\qquad\qquad\qquad\qquad - \Biggl(\left(2\frac{e^{2t}}{t} - 1\frac{e^{t}}{t}\right) - \left(\frac{e^{yt}}{t^2}\ \right\vert_1^2 \Biggr)\\ &= \Biggl( \frac{e^t}{t} - \left(\frac{e^{t}}{t^2} - \frac{1}{t^2}\right) \Biggr) + \left(\frac{2(e^{2t}-e^t)}{t}\right) \\ & \qquad\qquad\qquad\qquad\qquad - \Biggl(\left(\frac{e^{2t}}{t} - \frac{e^{t}}{t}\right) - \left(\frac{e^{2t}}{t^2} + \frac{e^t}{t^2} \right) \Biggr)\\ &= \frac{te^t -e^t+1}{t^2} + \frac{2te^{2t}-2te^t}{t^2} - \frac{2te^{2t} - te^t -e^{2t} + e^t}{t^2} \\ &= \frac{te^t -e^t+1}{t^2} + \frac{2te^{2t}-2te^t}{t^2} + \frac{-2te^{2t} + te^t +e^{2t} - e^t}{t^2} \\ &= \frac{e^{2t} -2e^t +1 }{t^2} \\ &= \frac{(1-e^t)^2}{t^2} \\ \color{blue}{M_Y(t)}\ &\color{blue}{= \left(\frac{1-e^t}{t}\right)^2} \end{align*}$
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