Module 26

JOINT MOMENT GENERATING FUNCTION OF

R.V.’s AND EQUALITY IN DISTRIBUTION

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 X = (X1 , . . . , Xp )0 : a p-dimensional random vector;

p
P p
 ti Xi   P ti Xi 
A = {t = (t1 , . . . , tp ) ∈ Rp : E |e i=1 | = E e i=1 < ∞};

Define the function MX : A → R by

p
P
 ti Xi 
MX (t) = E e i=1 , t = (t1 , . . . , tp ) ∈ A. (1)

Definition 1: The function MX : A → R, defined by (1), is called the joint

moment generating function (m.g.f.) of X .

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Remark 1:
(a) MX (0) = 1. Therefore, 0 ∈ A and A 6= φ;

(b) Let X = (X1 , . . . , Xp ), where X1 , . . . , Xp are independent. For

p
a = (a1 , . . . , ap ) ∈ Rp , let Y =
P
ai Xi . Then
i=1
p
P
 t ai X i 
MY (t) = E e i=1

p
Y 
=E e tai Xi
i=1
p
Y  
= E e tai Xi
i=1
p
Y
= MXi (tai ), t ∈ R.
i=1
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 p
P
In particular, if Z = Xi , then
i=1
p
Y
MZ (t) = MXi (t), t ∈ R,
i=1

i.e. m.g.f. of sum of independent r.v.s is same as the product of marginal

m.g.f.s.
(c) Let X = (X1 , . . . , Xp ) and Y = (X1 , . . . , Xp−1 ). Then

MY (t1 , . . . , tp−1 ) = MX (t1 , . . . , tp−1 , 0),

provided the involved expectations are finite. Thus, one can obtain the
marginal m.g.f.s from the joint m.g.f. by taking the argument of
unwanted variable in the joint m.g.f to be 0. In particular,

MX (0, . . . , 0, ti , 0, . . . , 0) = MXi (ti ), i = 1, . . . , p,

MX (0, . . . , 0, ti , 0, . . . , 0, tj , 0, . . . , 0) = MXi ,Xj (ti , tj ), i, j ∈ {1, . . . , p},

provided the expectations exist.

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(d) If X1 , . . . , Xp are independent, then
p
P p
 t Xi  Y 
MX (t) = E e i=1 =E e tXi
i=1
p
Y  
= E e tXi
i=1
p
Y
= MXi (ti ), t = (t1 , . . . , tp ) ∈ A.
i=1

Result 1 : Suppose that the joint m.g.f. MX (t) is finite in a rectangle

(−a, a) ⊆ Rp . Then, MX (t) possesses partial derivatives of all orders in
(−a, a). Furthermore, for any non-negative integers k1 , . . . , kp ,
k
E (|X1k1 · · · Xp p |) is finite and,
" #
k1 kp ∂ k1 +···+kp
E (X1 · · · Xp ) = k
MX (t) .
∂t1k1 · · · ∂tp p t=0

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Result 2 :
Under the assumption of Result 1, let ψX (t) = ln MX (t), t ∈ (−a, a).
Then
" #
∂ m
E (Xim ) = MX (t) , i = 1, . . . , p, m = 1, 2, . . .
∂tim
t=0
" #
∂2
Var(Xi ) = ψX (t) , i = 1, . . . , p
∂ti2
t=0
" #
∂2
and Cov(Xi , Xj ) = ψX (t) , i, j = 1, . . . , p.
∂ti ∂tj
t=0

Proof. The first assertion follows from Result 1.

∂ 1 ∂
ψX (t) = MX (t),
∂ti MX (t) ∂ti

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 2
h i
∂2 MX (t) ∂t∂j ∂ti MX (t) − ∂ ∂
∂ti MX (t) ∂tj MX (t)
ψX (t) = .
∂ti ∂tj [MX (t)]2
Thus,
" # " # " #2
∂2 ∂2 h ∂ i
ψX (t) = MX (t) − MX (t)
∂ti2 ∂ti2 ∂ti t=0
t=0 t=0
= E (Xi2 ) − (E (Xi ))2
= Var(Xi )

and
" # " # " # " #
∂2 ∂2 ∂ ∂
ψX (t) = MX (t) − MX (t) MX (t)
∂ti ∂tj ∂tj ∂ti ∂ti ∂tj
t=0 t=0 t=0 t=0
= E (Xi Xj ) − E (Xi )E (Xj ) = Cov(Xi , Xj ).

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Result 3 :

Let X = (X1 , . . . , Xp ) be a p-dimensional r.v. with joint m.g.f. MX (t) and

marginal m.g.f.s MXi (·), i = 1, . . . , p. Suppose that, for some a ∈ Rp ,
p
Y
MX (t) = MXi (ti ), ∀ t ∈ (−a, a).
i=1

Then X1 , . . . , Xp are independent.

Remark 2 : Remark 1 and Result 3 hold for random vectors as well.

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Equality in Distribution :

Definition 2 :
(a) Two p-dimensional r.v.s X and Y are said to have the same
d
distribution (written as X = Y ) if FX (x) = FY (x), ∀x ∈ Rp , where
FX (·) and FY (·) are d.f.s of X and Y , respectively.

(b) R.V.s X1 , . . . , Xp are said to be exchangeable iff

d
(X1 , . . . , Xp ) = (Xβ1 , . . . , Xβp ), for any permutation (β1 , . . . , βp ) of
(X1 , . . . , Xp ).

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Result 4 :

Let X and Y be r.v.s having p.m.f./p.d.f. fX (·) and fY (·), respectively.

Then
d
(a) fX (x) = fY (x), ∀ x ∈ Rp ⇒ X = Y ;

d d
(b) X = Y ⇒ ψ(X ) = ψ(Y ), for any function ψ : Rp → R;

d
(c) MX (t) = MY (t), ∀ t ∈ (−a, a), for some a ∈ Rp , ⇒ X = Y .

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Example 1 :
Let X1 , . . . , Xp be i.i.d. r.v.s with common p.m.f./p.d.f. f (·). Then
(a) X1 , . . . , Xp are exchangeable;
!
X1
(b) E p
P = 1, provided the expectations exists;
Xi
i=1

(c) P(X1 = min{X1 , . . . , Xp }) = p1 , provided X1 is A.C.

Solution.
(a) Suppose that X1 , . . . , Xp are i.i.d. r.v.s with common p.m.f./p.d.f.
f (·). Let X = (X1 , . . . , Xp ), Y = (Xβ1 , . . . , Xβp ) for a permutation
(β1 , . . . , βp ) of (1, . . . , p). Then,
p
Y p
Y p
Y
fX (x) = fXi (xi ) = f (xi ) = fXβi (xi ) = fY (x), x ∈ Rp ,
i=1 i=1 i=1

d
implying that X = Y .
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(b) By (a), we have for any permutation (β1 , . . . , βp ) of (1, . . . , p),
d
(X1 , . . . , Xp ) = (Xβ1 , . . . , Xβp )
! !
X1 Xβ1
⇒E p =E p
P P
Xi Xβi
i=1 i=1
! !
X1 Xj
⇒E p =E p , j = 1, . . . , p
P P
Xi Xi
i=1 i=1
Pp
p
! Xj !
X Xj j=1
But E p =E p =1
P P
j=1 Xi Xi
i=1 i=1
!
Xj 1
⇒E p = , j = 1, . . . , p.
P p
Xi
i=1
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(c) Since X1 is A.C., X = (X1 , . . . , Xp )0 is A.C. Let X1:p ≤ · · · ≤ Xp:p
denote the ranked values of X1 , . . . , Xp (X1:p , . . . , Xp:p are called order
statistics of X1 , . . . , Xp ). Then

P(X1:p < · · · < Xp:p ) = 1 (2)

P(X1 = min{X1 , . . . , Xp }) = P(Xi = min{X1 , . . . , Xp }), i = 1, . . . , p

But due to (2),

p
X
P(Xi = min{X1 , . . . , Xp }) = 1
i=1
1
⇒ P(Xi = min{X1 , . . . , Xp }) = , i = 1, . . . , p.
p

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Take Home Problems

1. Let X1 , X2 and X3 be i.i.d. random variables with

P({X1 = X2 = X3 }) = 61 and P({X1 = X2 < X3 }) = 16 . Find
P({X3 < X1 < X2 }).

2. Let X = (X1 , X2 ) be an absolutely continuous r.v. with joint m.g.f.

t12 +t22 +2ρt1 t2
M(t1 , t2 ) = e 2 , (t1 , t2 ) ∈ R2 .

Find correlation between X1 and X2 . Derive conditions under which

X1 and X2 are independent.

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 Thank you for your patience

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