Moment Generating Function Of Poisson Distribution

Decoding the Moment Generating Function of the Poisson Distribution

The Poisson distribution, a cornerstone of probability theory, models the probability of a given number of events occurring in a fixed interval of time or space if these events occur with a known average rate and independently of the time since the last event. Understanding its properties is crucial in various fields, from queuing theory and epidemiology to insurance and telecommunications. This article delves into a powerful tool for analyzing the Poisson distribution: its moment generating function (MGF). We'll explore its derivation, its use in finding moments, and its significance in characterizing the distribution.

1. Understanding the Poisson Distribution

Before diving into the MGF, let's briefly revisit the Poisson distribution. A random variable X follows a Poisson distribution with parameter λ (lambda) if its probability mass function (PMF) is given by:

P(X = k) = (e⁻λ λᵏ) / k! for k = 0, 1, 2, ...

where:

λ represents the average rate of events occurring in the given interval.
k represents the number of events.
e is the base of the natural logarithm (approximately 2.71828).
k! denotes the factorial of k.

For instance, if λ = 2 represents the average number of customers arriving at a store per hour, then P(X = 3) would give the probability of exactly 3 customers arriving in an hour.

2. Defining the Moment Generating Function (MGF)

The moment generating function (MGF) of a random variable X, denoted as MX(t), is defined as the expected value of etX:

MX(t) = E[etX] = Σk=0∞ etk P(X = k)

The MGF is a powerful tool because the moments of the distribution (mean, variance, etc.) can be easily derived from it.

3. Deriving the MGF of the Poisson Distribution

Let's derive the MGF for the Poisson distribution. Substituting the Poisson PMF into the MGF definition:

MX(t) = Σk=0∞ etk (e⁻λ λᵏ) / k!

We can rearrange this as:

MX(t) = e⁻λ Σk=0∞ (λet)ᵏ / k!

Notice that the summation is the Taylor series expansion of ex where x = λet. Therefore:

MX(t) = e⁻λ eλet = eλ(et - 1)

This is the moment generating function for the Poisson distribution.

4. Using the MGF to Find Moments

The power of the MGF lies in its ability to generate moments. The nth moment of X, E[Xⁿ], can be found by taking the nth derivative of the MGF with respect to t and evaluating it at t = 0:

E[Xⁿ] = MX(n)(0)

For example:

Mean (E[X]): MX'(t) = λet eλ(et - 1). MX'(0) = λ.
Variance (Var(X)): We need to find E[X²] and use the formula Var(X) = E[X²] - (E[X])². MX''(t) = λet eλ(et - 1) + λ²e2t eλ(et - 1). MX''(0) = λ + λ². Therefore, Var(X) = λ + λ² - λ² = λ.

This shows that both the mean and variance of a Poisson distribution are equal to λ.

5. Practical Example

Suppose a call center receives an average of 10 calls per hour. This can be modeled using a Poisson distribution with λ = 10. Using the MGF, we can easily calculate the expected number of calls in an hour (mean = 10) and the variance of the number of calls (variance = 10). This information is crucial for staffing decisions and resource allocation.

Conclusion

The moment generating function provides a concise and efficient way to analyze the Poisson distribution. Its derivation, presented above, clearly demonstrates its connection to the Poisson PMF. More importantly, the ability to derive moments directly from the MGF streamlines the calculation of key statistical properties, proving invaluable in diverse applications across various fields.

FAQs

1. What if λ is not an integer? λ can be any non-negative real number. The Poisson distribution still applies.

2. Are there other ways to find the mean and variance of a Poisson distribution? Yes, they can be derived directly from the PMF using the definition of expectation. However, the MGF offers a more elegant and generalized approach.

3. What are the limitations of the MGF? The MGF may not always exist for all distributions, or it might not uniquely define a distribution.

4. Can the MGF be used for other distributions? Yes, the MGF is a powerful tool applicable to many other probability distributions.

5. How does the MGF relate to the characteristic function? The characteristic function is a generalization of the MGF, allowing for complex values of t, and always exists. It offers similar advantages in calculating moments and characterizing distributions.

Search Results:

Poisson distribution | Properties, proofs, exercises - Statlect Moment generating function. The moment generating function of a Poisson random variable is defined for any :

Moment Generating Function of Poisson - Mathematics Stack ... Using moment generating functions to determine whether $3X + Y$ is Poisson if $X$ and $Y$ are i.i.d. Pois($\lambda$)

Lecture 5: Moment Generating Functions Example: Consider W = X + Y, where X independent Poisson distributed. Then Po( x) and Y Po( y) are. y) w! X x w-x. i. the Poisson distribution is closed under addition. w! = gx(z)gy(z). I.e., the sum of independent random variables has a moment generating function, which is the product of the moment generating functions.

3.8: Moment-Generating Functions ... - Statistics LibreTexts We can now derive the first moment of the Poisson distribution, i.e., derive the fact we mentioned in Section 3.6, but left as an exercise, that the expected value is given by the parameter λ λ. We also find the variance. Let X ∼ Poisson(λ) X ∼ Poisson (λ). Then, the pmf of X X is given by.

Generating Functions for Poisson Process Distributions Moment Generating Functions 5.5.1 can be derived for each of the distributions in this chapter. Theorem 8.5.1. Moment Generating Function for Poisson. Presuming t> 0 and. Proof. where we used a new poisson distribution with new mean to convert the sum. Corollary 8.5.2. Poisson Properties via Moment Generating Function. For the Poisson variable X,

Moment Generating Function of Poisson Distribution 26 Apr 2023 · Let $X$ be a discrete random variable with a Poisson distribution with parameter $\lambda$ for some $\lambda \in \R_{> 0}$. Then the moment generating function $M_X$ of $X$ is given by: $\map {M_X} t = e^{\lambda \paren {e^t - 1} }$ Proof. From the definition of the Poisson distribution, $X$ has probability mass function:

Poisson Distribution: Moment Generating Function 10 Dec 2024 · The moment generating function (mgf) of the Poisson distribution is a crucial concept in understanding its behavior. It is defined as the expected value of the exponential of the random variable, and its mathematical formula is given by M(t) = exp(λ(e^t - 1)).