Probability and Statistics (MATH F113)

Pradeep Boggarapu

Department of Mathematics
BITS PILANI K K Birla Goa Campus, Goa

January 29, 2025

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 1 / 16
Outline

Derivations of Mean, Variance and MGF of the

following:
1 Binomial random variables.
2 Geometric random variable.
3 Poisson random variable.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 2 / 16
Mean, Variance and Mgf of Binomial RV

Theorem 0.1.
If X is a binomial random variable with parameters (n, p),
then
1 E (X ) = np
2 Var (X ) = np(1 − p)
3 The mgf of X is given by mX (t) = (pe t + 1 − p)n .

Proof. Note that the pmf or pdf of X is given by

 
n x
fX (x) = p (1 − p)n−x , for x = 0, 1, 2, . . . n.
x

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 3 / 16
Mean, Variance and Mgf of Binomial RV
n  
X n x
E (X ) = x p (1 − p)n−x
x=0
x
n
X n!
= x p x (1 − p)n−x
x=0
x!(n − x)!
n
X (n − 1)!
= np p x−1 (1 − p)n−x
x=1
(x − 1)!(n − x)!
n−1
X (n − 1)! j
= np p (1 − p)n−1−j
j!(n − j)!
j=0
= np(p + 1 − p)n−1 = np

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 4 / 16
Mean, Variance and Mgf of Binomial RV
n  
2
X n x
2
E (X ) = x p (1 − p)n−x
x
x=0
n
X
2 n!
= x p x (1 − p)n−x
x!(n − x)!
x=0
n
X (n − 1)!
=np (x − 1 + 1) p x−1 (1 − p)n−x
(x − 1)!(n − x)!
x=1
n
X (n − 1)! 
=np (x − 1) p x−1 (1 − p)n−1−x
(x − 1)!(n − x)!
x=1
n
X (n − 1)! 
+ np p x−1 (1 − p)n−1−x
(x − 1)!(n − x)!
x=1
=n(n − 1)p 2 + np = np(1 − p) + n2 p 2 .

Therefore, Var (X ) = E [X 2 ] − (E [X ])2 = np(1 − p), since E [X ] = np.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 5 / 16
Mean, Variance and Mgf of Binomial RV

Moment generating function is given by

n  
tx n
X
tX
mX (t) =E [e ] = e p x (1 − p)n−x
x=0
x
n  
X n
= (pe t )x (1 − p)n−x = pe t + 1 − p)n .
x=0
x

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 6 / 16
Mean, Variance and Mgf of Geometric RV

Theorem 0.2.
If X is a geometric random variable with parameters
p, 0 < p < 1, then
1 E (X ) = 1/p
2 Var (X ) = q/p 2 , where q = 1 − p
3 The mgf of X is given by
pe t
mX (t) = , t < − ln q
1 − qe t

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 7 / 16
Mean, Variance and Mgf of Geometric RV
Proof. Note that the pmf or pdf of X is given by
f (x) = q x−1 p, for x = 1, 2, 3, . . . .
∞
X ∞
X
E [X ] = xf (x) = xq x−1 p
x=1 x=1
∞
d  X x
=p q
dq x=0
d  1 
=p
dq 1 − q
 1 
=p = 1/p.
(1 − q)2
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 8 / 16
Mean, Variance and Mgf of Geometric RV

∞
X ∞
X
2 2
E [X ] = x f (x) = x 2 q x−1 p
x=1 x=1
X∞ ∞
X
2 x−1
= (x − x)q p+ xq x−1 p
x=1 x=1
∞
X 1
=pq x(x − 1)q x−2 +
x=2
p
∞
2 X
d x
 1
=pq q +
dq 2 x=0
p

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 9 / 16
Mean, Variance and Mgf of Geometric RV

which implies,

2 d2  1  1
E [X ] =pq +
dq 2 1 − q p
 2pq  1 2q + p q+1
= + = = .
(1 − q)3 p p2 p2
Therefore,
q+1 1 q
Var [X ] = E [X 2 ] − E [X ]2 = − = .
p2 p2 p2

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 10 / 16
Mean, Variance and Mgf of Geometric RV

Moment generating function is given by

∞
X
tX
mX (t) = E [e ] = e tx q x−1 p
x=1
∞
X
t
=pe (e t q)x−1
x=1
t
pe
= t
, for qe t < 1 or t < − ln q.
1 − qe

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 11 / 16
Mean, Variance and Mgf of Poisson RV

Theorem 0.3.
If X is a Poisson random variable with parameters k > 0,
then
1 E (X ) = k
2 Var (X ) = k
3 The mgf of X is given by
t
−1)
mX (t) = e k(e

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 12 / 16
 Proof. Pmf of X is given by
e −k k x
f (x) = ; for x = 0, 1, 2, . . . , and k > 0.
x!
∞ x ∞
X
−k k −k
X kx
E [X ] = xe =e x
x=0
x! x=1
x!
∞ ∞
−k
X k x−1 −k
X kj
=e k = ke
x=1
(x − 1)! j!
j=0
−k k
=ke e = k.

We next calculate E (X 2 ) which is required to derive

variance formula.
Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 13 / 16
 ∞ x ∞
2
X
2 −k k −k
X kx
E [X ] = x e =e x2
x=0
x! x=1
x!
∞ x
X k
=e −k x
x=1
(x − 1)!
∞ ∞
hX kx X kx i
=e −k (x − 1) +
x=1
(x − 1)! x=1 (x − 1)!
∞
h X kx ∞
−k
X kx i
=e +
x=2
(x − 2)! x=1 (x − 1)!
∞ ∞
−k
hX k j+2 X k j+1 i
=e +
j=0
j! j=0
j!
=e −k [k 2 e k + ke k ] = k 2 + k.

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 14 / 16
 Therefore Var [X ] = E [X 2 ] − (E [X ])2 = k 2 + k − k 2 = k.
The mgf of X is given by
∞ x ∞
tX
X
tx −k k −k
X (ke t )x
E [e ] = e e =e
x=0
x! x=0
x!
−k ke t t
−1)
=e e = e k(e .

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 15 / 16
 Thank you for your attention

Pradeep Boggarapu (Dept. of Maths) Probability and Statistics January 29, 2025 16 / 16