# Lecture 18: MGFs Continued | Statistics 110 | Summary and Q&A

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April 29, 2013
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Harvard University
Lecture 18: MGFs Continued | Statistics 110

## TL;DR

Understanding joint distribution and independence of random variables is crucial for analyzing their relationships and calculating probabilities.

## Key Insights

• 👻 Joint distribution allows for the analysis of multiple variables together, providing valuable insights into their relationships and dependencies.
• ❓ The concept of independence can be determined by comparing the joint distribution to the product of the marginal distributions.
• ❓ The marginal distribution focuses on individual variables, while the joint distribution captures the relationship between them.

## Transcript

Well let's get started. Thanks for coming despite the rain, but at least we can feel lucky that the sun rose today cuz we have a lot more to do and it would be hard to do if the sun stopped rising. So, okay, so we were talking about MGFs last time. We've done all the theory that we need for MGFs but I'm not sure that the intuition is clear enough y... Read More

### Q: What is the difference between joint distribution and marginal distribution?

Joint distribution refers to the analysis of two or more random variables together, while marginal distribution focuses on the probability distribution of each individual variable without considering the others. In other words, joint distribution looks at the whole picture, while marginal distribution looks at each variable in isolation.

### Q: How can we determine if two random variables are independent based on their joint distribution?

If the joint distribution can be expressed as the product of the marginal distributions, then the variables are independent. However, if the joint distribution cannot be factored in this way, then the variables are dependent.

### Q: How can the joint distribution be obtained from the individual marginal distributions?

The joint distribution can be derived by multiplying the marginal distributions together. This assumes that the variables are independent. However, if the variables are dependent, the joint distribution must be obtained empirically or through other statistical methods.

### Q: What are some examples of joint distributions and their relationship to independence?

One example is the uniform distribution on a square, where the joint distribution is constant within the square and zero outside it. This indicates independence between the variables. Another example is the uniform distribution on a circle, which shows dependency between the variables due to the constraints imposed by the circular shape.

## Summary

In this video, the lecturer discusses moment generating functions (MGFs) and their applications to different distributions such as exponential, normal, and Poisson. The lecturer explains the intuition behind MGFs and illustrates how to compute moments using MGFs. The lecture also introduces the concept of joint distributions and demonstrates examples of independent and dependent random variables.

### Q: What is a moment generating function (MGF)?

A moment generating function is a function that provides a concise way to compute the moments of a random variable. It is defined as the expected value of e^(tx), where t is a dummy variable.

### Q: Where does the term "moment" in moment generating function come from?

The term "moment" comes from physics, particularly from the analogy between variance and moment of inertia. The word "moment" in physics referred to a rotating force, and it was later adopted in statistics due to its analogy with variance.

### Q: How do you find the MGF of an exponential distribution?

To find the MGF of an exponential distribution with rate parameter lambda, you can apply the definition of the MGF and solve the integral. The MGF will be 1/(1-t) for t less than 1, and undefined for t greater than or equal to 1.

### Q: Can we find moments of a distribution using its MGF?

Yes, the moments of a distribution can be found by taking derivatives of its MGF and evaluating them at 0. For example, the first derivative of the MGF at 0 gives the mean, the second derivative gives the variance, and so on.

### Q: How can we simplify the computation of moments using MGFs?

Instead of taking multiple derivatives of the MGF to compute moments, we can recognize patterns and use properties such as geometric series to simplify the calculations. This can save time and effort compared to directly integrating the moments using lotus.

### Q: What is the moment pattern for the exponential distribution?

The moment pattern for the exponential distribution is that all moments are equal to n factorial, where n is the order of the moment. This means that all the moments of the exponential distribution are equal to each other.

### Q: How can we find the moments of a Poisson distribution using its MGF?

To find the moments of a Poisson distribution with mean lambda, we can use the MGF and recognize the pattern of a geometric series. By reading off the coefficients, we can determine that all moments of the Poisson distribution are equal to e^(lambda).

### Q: What does it mean for two random variables to be independent?

Two random variables are independent if their joint distribution is the product of their marginal distributions. This means that the behavior of one random variable does not affect the behavior of the other.

### Q: How can we determine if two random variables are independent from their joint distribution?

To determine if two random variables are independent from their joint distribution, we can check if the joint PMF/PDF is equal to the product of the marginal PMFs/PDFs. If the equality holds for all values of the random variables, then they are independent.

### Q: How can we compute the marginal distributions from the joint distribution?

To compute the marginal distribution of one random variable from the joint distribution, we can sum or integrate over all possible values of the other random variable. This effectively "marginalizes out" the other random variable and gives us the distribution of interest.

### Q: Can we determine if two random variables are independent from their marginal distributions?

No, we cannot determine if two random variables are independent solely from their marginal distributions. The marginal distributions do not provide information about the relationship or dependence between the random variables.

## Summary & Key Takeaways

• Joint distribution refers to the analysis of two or more random variables together, which allows for better understanding of their interactions and dependencies.

• The relationship between joint distribution and independence can be determined by comparing the joint distribution to the product of the marginal distributions of the individual variables.

• Marginal distributions are obtained by summing or integrating the joint distribution over the respective variables, yielding the probability of each variable without considering the other(s).