Funciones generadoras de momentos de las distribuciones

de variables aleatorias
Michelle Velez
Enero del 2016

1 Introduccon
Definicion: Si X es una variable aleatoria, el momento de orden k de X se define como

E(X k )

siempre que la esperanza exista.

Notemos que
E(X) = es el 1er momento: posicion
E(X 2 ) = 2 + 2 es el 2do momento: dispersion
E(X 3 ) es el 3er momento: relacionado con una medida de asimetra
E(X 4 ) es el 4to momento: relacionado con la kurtosis

Definicion: la funcion generadora de momentos de una v.a. X es una funcion a valores

reales Mx (t) definida como:

etx px (x)
P
tX
Mx (t) = E(e ) = R xRxtx

e fx (x)dx
El primer caso si X es discreta y el segundo si X es continua, siempre que el valor esper-
ado exista para todo t(h, h), h > 0. Esta ultima es una condicion tecnica necesaria para
Mx (t) sea diferenciable en 0.

Se denomina funcion generadora de momentos porque los momentos de X (E(X n )) pueden

ser obtenidos derivando esta funcion y evaluando la derivada en t=0

2 Distribuciones de variables aleatorias discretas

2.1 Distribucion Binomial

Funcion Generadora de momentos:
n
Mx (t) = (et p + 1 p)

1
Esperanza:

MX (t) (et p + 1 p)n

E(X) = |t=0 = |t=0
t t
E(X) = n((et p + 1 p)n1 et p|t=0

E(X) = np

Varianza:

2 MX (t)
E(X 2 ) = 2
|t=0 = (n(et p + 1 p)n1 et p)|t=0 = (n(n 1)(et p + 1 p)n2 (pet )2 +
t t
n(et p + 1 p)n1 pet )|t=0

E(X 2 ) = n(n 1)p2 + np

V (X) = E(X 2 ) (E(X))2

V (X) = n(n 1)p2 + np (np)2 = np2 + np = np(1 p)

Coeficiente de asimetra:

3 3 MX (t) 3 (et p + 1 p)n

E(X ) = |t=0 = |t=0
t3 t3
E(X 3 ) = (npet (p(et 1) + 1)n3 (p2 (n2 e2t + 1(1 3n)et + 1) + p((3n 1)et 2) + 1))|t=0

E(X 3 ) = np((n2 3n + 2)p2 + (3n 3)p + 1)

3 = E(X 3 ) 3(E(X))(E(X 2 )) + 2(E(X))3

3 = np((n2 3n + 2)p2 + (3n 3)p + 1) 3(np)(n(n 1)p2 + np) + 2(np)3

3 = 2np3 3np2 + np
3
3 = 3/2
2
2np3 3np2 + np
3 =
(n(n 1)p2 + np)3/2
1 2p
3 = p
np(1 p)
Kurtosis:

4 MX (t) 4 (et p + 1 p)n

E(X 4 ) = |t=0 = |t=0
t4 t4
E(X 4 ) = (npet (p(et 1) + 1)n4 (p2 ((6n2 4n + 1)e2t + (8 14n)et + 3) + p3 (n3 e3t + (6n2 +
4n 1)e2t + (7n 4)et 1) + p((7n 4)et 3) + 1))|t=0

E(X 4 ) = np((6n2 18n + 12)p2 + (n3 6n2 + 11n 6)p3 + (7n 7)p + 1)

2
4 = E(X 4 ) 4(E(X))(E(X 3 )) + 6(E(X))2 (E(X 2 )) 3(E(X))4

4 = np((6n2 18n + 12)p2 + (n3 6n2 + 11n 6)p3 + (7n 7)p + 1) 4(np)(np((n2
3n + 2)p2 + (3n 3)p + 1)) + 6(np)2 (n(n 1)p2 + np) 3(np)4

4 = 6np4 + 12np3 7np2 + np

4
4 =
22
6np4 + 12np3 7np2 + np
4 =
(np(1 p))2
1 6p(1 p)
4 =
np(1 p)

2.2 Distribucion Hipergeometrica

Funcion Generadora de momentos:

N k
F1 (n,k;N kn+1;et )
n
Mx (t) = 2
N

n
Esperanza:

m ()m ()m
La derivada enesima de una funcion hipergeometrica es: z m
[2 F1 (, , ; z)] = ()m
[2 F1 (+
m, + m, + m; z)]

Donde:

m
z m
[2 F1 (, , ; z)] es la derivada enesima de una funcion hipergeometrica.

(a)m = a(a + 1)(a + 2)...(a + m 1)

MX (t)
E(X) = |t=0
t


N k F1 (n,k;N kn+1;et )
n
E(X) = 2 |t=0
N

n


N k
n nket
E(X) = N kn+1 2 F1 (n + 1, k + 1; N k n + 2; et )
N

n
Sin embargo la deduccion se puede hacer desde el sumatario derivado la expresion de lo que se
obtiene:

3

k

N k
x nx
E(X) = min(k,n) xetx |t=0
P

0
N

n

k

N k
Pn x nx
E(X) = x=0 x
N

n


k 1
N k
k
Pn x1 nx
E(X) = n N x=1

N 1
n1


k 1 N k
y n 1 y
E(X) = n Nk n1
P

y=0

N 1
n1
E(X) = n Nk
    
Pm a b a+b
Dado que: i=0 = ,donde:
i mi m
i=y
a=k1
b=N k
m=n1
mi=n1y
a+b=k1+N k =N 1

k
Por ultimo tenemos p = N
que es la probabilidad de exito por lo que:

E(X) = np

Varianza:

2 MX (t)
E(X 2 ) = |t=0
t2


N k
N k
n nket n (n)2 (k)2 et
E(X 2 ) = N kn+1 2 F1 (n + 1, k + 1; N k n + 2; et ) + (N kn+1) 2
N

N

2

n n
t
F1 (n + 2, k + 2; N k n + 3; e )

Resolviendo tenemos que:

nK(1nk+nk) nk
E(X 2 ) = N (N 1)
+ N

Entonces:

V (X) = E(X 2 ) (E(X))2

4
 nK(1nk+nk) nk nk 2


V (X) = N (N 1)
+ N
N

nk 1nk+nk nk


V (X) = N N 1
+1 N
 
nk (N k)(N n)
V (X) = N N (N 1)

nk k N n



V (X) = N
1 N N 1

N n


V (X) = npq N 1

Coeficiente de asimetra:
E(X 3 )3(E(X))(E(X 2 ))+2(E(X))3
3 = X 3

Donde:

E(X) = np
nK(1nk+nk) nk
E(X 2 ) = N (N 1)
+ N

3 MX (t) 3 (et p + 1 p)n

E(X 3 ) = |t=0 = |t=0
t3 t3
Entonces:
(N 2k)(N 2n)
3 = q
nk(N k)(N n)
(N 2) N 1

Kurtosis:
E(X 4 )4(E(X))(E(X 3 ))+6(E(X))2 (E(X 2 ))3(E(X))4
4 = x
3

Donde:

E(X) = np
nK(1nk+nk) nk
E(X 2 ) = N (N 1)
+ N

3 MX (t) 3 (et p + 1 p)n

E(X 3 ) = |t=0 = |t=0
t3 t3
4 MX (t) 4 (et p + 1 p)n
E(X 4 ) = |t=0 = |t=0
t4 t4
Entonces:
  
N 2 (N 1) (N +1)6(N n) 3n(N n)(N +6)
4 = n(N 2)(N 3)(N n) p(N k)
+ N2
6

2.3 Distribucion de Poisson

Funcion Generadora de momentos:
t
Mx (t) = e(e 1)

5
Esperanza:
t
Mx (t) = e(e 1)
Mx (t)
= E(X) = t
t
e(e 1)
E(X) = t
|t=0

u = (et 1)
df (u) df du
dt
= du
dt

df (u) d
dt
= du
(eu ) dtd ((et 1))

d
du
(eu ) = eu

d
dt
((et 1)) = et
t
e(e 1) t

t
|t=0 = et eu |t=0 = et e(e 1) |t=0
t
e(e 1) t

t
|t=0 = e(e 1)+t |t=0
Mx (t)
= E(X) = t
=

Varianza:
2 Mx (t)
E(X 2 ) = t2
|t=0
t
E(X 2 ) = (2 e(2t) + e(t) )ee |t=0

E(X 2 ) = (2 e(2(0)) + e(0) )ee

0

E(X 2 ) = (2 e + e )e
2
E(X 2 ) = e ( + )e

E(X 2 ) = (2 + )

V (X) = E(X 2 ) (E(X))2

V (X) = (2 + ) ()2

V (X) =

Coeficiente de asimetra:
3 Mx (t)
E(X 3 ) = t3
|t=0
t 3 t t 2 t
E(X 3 ) = e(e 1) (et ) + e(e 1) (22 e2t ) + e(e 1) (et ) + e(e 1) (et )|t=0

6
 t 3 t 2 t
E(X 3 ) = e(e 1) (et ) + 3e(e 1) (et ) + +e(e 1) (et )|t=0
(e0 1) 3 0 1) 0 1)
E(X 3 ) = e (e0 ) + 3e(e (e(0) )2 + +e(e (e0 )

E(X 3 ) = 3 + + 32

3 = E(X 3 ) 3(E(X))(E(X 2 )) + 2(E(X))3

3 = 3 + + 32 3(2 + ) + 23

3 = + 42
3
3 = 3/2
2
+42
3 = 3
(2 +) 2

3 = 1

Kurtosis:
4 Mx (t)
E(X 4 ) = t4
|t=0
t 4 t 3 t t 2 t 3 t
E(X 4 ) = e(e 1) (et ) +3e(e 1) (et ) + e(e 1) (et )+e(e 1) (et ) +3e(e 1) (et ) + 6e(e 1)
2
(et ) |t=0
t 4 t 3 t t 2
E(X 4 ) = e(e 1) (et ) + 6e(e 1) (et ) + e(e 1) (et ) + 7e(e 1) (et ) |t=0
0 1) 4 0 1) 3 0 1) 0 1) 2
E(X 4 ) =e(e (e0 ) + 6e(e (e0 ) + e(e (e0 ) + 7e(e (e0 )

E(X 4 ) = 4 + 63 + + 72

4 = E(X 4 ) 4(E(X))(E(X 3 )) + 6(E(X))2 (E(X 2 )) 3(E(X))4

4 = 4 + 63 + + 72 4(3 + + 32 ) + 62 (2 + ) 34

4 = + 112 + 193
4
4 =
22
+112 +193
4 = 2
(2 +)

1
4 = 3 +

3 Distribuciones de variables aleatorias continuas

3.1 Distribucion Normal

7
 Funcion Generadora de momentos:
1 x 2
f (x, , ) = 1 e 2 ( ) ; < x < ; > 0; < <
2
1 x 2
(etx ) = etx 12 e 2 ( ) dx
R
Mx (t) = E
1 x 2
(etx ) = 12 etx e 2 ( ) dx
R
Mx (t) = E
1 x 2
(etx ) = 12 e 2 ( ) +tx dx
R
Mx (t) = E
R (x)2 +2xt 2
Mx (t) = E (etx ) = 12 e 2 2 dx
R (x2 2x+u2 )+2xt 2
Mx (t) = E (etx ) = 1 e 2 2 dx
2
2 2 2
x 2x+u2 2xt
R
Mx (t) = E (etx ) = 1 e 2 dx
2
R (
x2 2x +t 2 +u2 )
Mx (t) = E (etx ) = 1
2
e 2 2 dx
2 2
R x2 2x(+t 2 )+u2 +(+t 2 ) (+t 2 )
tx 1
Mx (t) = E (e ) = 2 e 2 2 dx
!2
2 x(+t 2 )
2 (+t 2 ) 12

Mx (t) = E (etx ) = 12 e 22
R

e dx
!2
x(+t 2 )
1
2 2 2
2t t R 2 4 2

Mx (t) = E (etx ) = 12 e 2 2

1
e dx
!2
x(+t 2 )
2 2 2t 2 t2 4 R 21

Mx (t) = E (etx ) = 12 e 2 2

1
e dx
!2
x(+t ) 2

2t+t2 2 R
12
tx 1 1
Mx (t) = E (e ) = 2 e 2
e dx
!2
x(+t 2 )
2t+t2 2 R
12
Mx (t) = E (etx ) = e 2 1 e dx
2
!2
x(+t )
2
R 12
1
e
2
dx = f uncion de probabilidad evaluada en todo su intervalo
1
2t+t2 2 t2 2
Mx (t) = E (etx ) = e 2 (1) = et+ 2

Esperanza:
t2 2
M
t
= M 0 (t) = et+ 2 ( + t 2 )

si t = 0

M
t
= M 0 (0) =

Varianza:

2M t2 2 2 t2 2
t2
= M 00 (t) = et+ 2 ( + t 2 ) + et+ 2 ( 2 )

si t = 0

2M
t2
= M 00 (0) = 2 + 2

8
 2 Mx (0)
t2
2 = 2 + 2 2
2 Mx (0)
2 = t2
2

Coeficiente de asimetra:

2M t2 2 2 t2 2
t2
= M 00 (t) = et+ 2 ( + t 2 ) + et+ 2 ( 2 )
t2 2 3 t2 2 t2 2
3M
t3
= M 000 (t) = et+ 2 ( + t 2 ) + 2et+ 2 ( 2 ) ( + t 2 ) + et+ 2 ( 2 ) ( + t 2 )

si t = 0
0 2 3 0 2 0 2
3M
= M 000 (t) = e0+


t3
2 ( + 0 2 ) + 2e0+ 2 ( 2 ) + t0 2 +e0+ 2 ( 2 ) ( + 0 2 )

3M
t3
= M 000 (t) = 3 + 3 2

Kurtosis:
2 2 t2 2 t2 2 t2 2
4M t 4 2
t4
= M 0000 (t) = et+ 2 ( + t 2 ) +3et+ 2 ( + t 2 ) +2et+ 2 ( 4 )+2et+ 2 ( + t 2 ) ( 2 )+
2 2 2 2
t+ t 2 2 2 2 t+ t 2
e ( + t ) ( ) + e ( 4 )

si t = 0
2 0 2 0 2 0 2
4M 0 4 2
t4
= M 0000 (t) = e0+ 2 ( + 0 2 ) +3e0+ 2 ( + 0 2 ) +2e0+ 2 ( 4 )+2e0+ 2 ( + 0 2 ) ( 2 )+
2 2
0+ 02 2 2 2 0+ 02
e ( + 0 ) ( ) + e ( 4 )

4M
t4
= M 0000 (t) = 4 + 32 + 2 4 + 2 2 + 2 2 + 4

3.2 Distribucion Normal Estandar

Funcion Generadora de momentos:
x 2
f (z) = 1 e 2
2
R z2
Mz (t) = E (etz ) =
etz 12 e 2 dz
R z2
Mz (t) = E (etz ) = 1
2
etz e 2 dz
R z2
Mz (t) = E (etz ) = 1
2
e 2 +tz dz
R z 2 2tz+t2 t2
Mz (t) = E (etz ) = 1
2
e 2 dz
2
t2 R (zt)
Mz (t) = E (etz ) = e 2 1 e 2 dz
2

R (zt) 2
1 e 2 dx = f uncion de probabilidad evaluada en su totalidad =
2
1

9
 t2
Mz (t) = E (etz ) = e 2

Esperanza:
t2
M
t
= M 0 (t) = te 2

si t = 0

M
t
= M 0 (0) = 0

Varianza:

2M t2 t2
t2
= M 00 (t) = 2t2 e 2 + e 2

si t = 0

2M
t2
= M 00 (0) = 1

Coeficiente de asimetra:
t2 t2 t2
3M
t3
= M 000 (t) = t3 e 2 + 2te 2 + te 2
t2 t2
3M
t3
= M 000 (t) = t3 e 2 + 3te 2

si t = 0

3M
t3
= M 000 (0) = 0

Kurtosis:
t2 t2 t2 t2
4M
t4
= M 0000 (t) = t4 e 2 + 3t2 e 2 + 3e 2 + 3t2 e 2
t2 t2 t2
4M
t4
= M 0000 (t) = t4 e 2 + 6t2 e 2 + 3e 2

si t = 0

4M
t4
= M 0000 (t) = 0

10