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Let $X$ be a random variable with the moment generating function $$𝑀_𝑋(𝑡) =\frac{6}{\pi^2}\sum_{n\geq 1}\frac{e^{\frac{t^2}{2n}}}{n^2}$$ Then $𝑃(X\in \mathbb{Q})$, where is the set of rational numbers, equals

$(A) \space\space 0\space\space\space\space\space\space (B) \space\space \frac{1}{4}\space\space\space\space\space\space (C)\space\space \frac{1}{2}\space\space\space\space\space\space (D) \space\space \frac{3}{4}\space\space\space\space\space\space $

I was thinking whether I can replace this sum by an integral , because I can't think of a distribution whose mgf looks like this. Please Help!

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    $\begingroup$ Please use $\LaTeX$ instead of image, images don't always work for everyone $\endgroup$
    – Holo
    Commented Mar 4, 2018 at 7:05
  • $\begingroup$ This is a mixture of normal distributions, i.e. a continuous distribution, so the probability of a countable set is $0$. $\endgroup$
    – user436658
    Commented Mar 4, 2018 at 8:10
  • $\begingroup$ Ok, by differentiating the MGF , I got $E(X)=0$ and $V(X)=\frac{\pi}{4}$, which is irrational. SO, can I infer anything about the distribution? $\endgroup$
    – user321656
    Commented Mar 4, 2018 at 8:17
  • $\begingroup$ Distributions with support on the integers can have irrational moments $\endgroup$
    – Henry
    Commented Mar 4, 2018 at 11:10

1 Answer 1

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We can define a random variable with this distribution as follows.

  • Let $P$ be an integer valued random variable with $$\mathbf P[P = n] = \frac{6}{(\pi n)^2}.$$
  • Define $$Y = \mathbf{N}(0, P^{-1}),$$ that is let $Y$ be normally distributed with mean $0$ and variance $P^{-1}$, where $P$ is random as defined above.

(Aside: the letter $P$ was chosen to denote precision, which is the inverse of variance).

I claim that $Y$ has the moment generating function defined above. To see this we use the fact that for a normal random variable $X \sim \mathbf N(0,\sigma^2)$ the moment generating function is $$M_X(t) = \exp\left( \frac12 \sigma^2 t^2\right),$$ and proceed by conditioning on $P = n$, so we have

\begin{align*} M_Y(t)& = \mathbf E\left[ \exp(t Y)\right] \\ & \sum_{n=1}^\infty \mathbf E \left[ \exp\left(t \, \mathbf{N}(0,P^{-1}\right) \, | \, P = n \right] \mathbf P[P = n] \\ & = \frac{6}{\pi^2} \sum_{n=1}^\infty \frac{1}{n^2} \mathbf E \left[ \exp\left(t \, \mathbf{N}(0,n^{-1}\right) \right] \\ & = \frac{6}{\pi^2} \sum_{n=1}^\infty \frac{1}{n^2}e^{t^2/(2n)} \end{align*}


With this in mind, you can now solve the problem, again relying on conditioning on $P = n$, i.e. considering

\begin{align*} \mathbf P[ Y \in \mathbb Q ] & = \sum_{n=1}^\infty \mathbf P\left[ \mathbf N(0,P^{-1}) \in \mathbb Q \, | \, P = n\right] \mathbf P[ N = n] \\ & = \frac{6}{\pi^2} \sum_{n=1}^\infty \frac{1}{n^2} \mathbf P\left[ \mathbf N(0,n^{-1}) \in \mathbb Q \right] \\ & = \frac{6}{\pi^2} \sum_{n=1}^\infty \frac{1}{n^2} 0 \\ & = 0, \end{align*} where we used the fact that for any finite $\sigma^2 > 0$, we have $\mathbf P[ \mathbf N(0,\sigma^2) \in \mathbb Q] = 0$, since continuous distributions have measure $0$ on countable sets.


As a final remark, the general trick we rely on here is that given moment generating function $M_1,\ldots, M_n$ and positive values $p_1 + \cdots p_n = 1$, then the moment generating function $$ M = p_1 M_1 + \cdots p_n M_n$$ describes a variable where you first choose $k$ according to the probabilities $(p_i)_{i=1}^n$, i.e $\mathbf P[k = i ] = p_i$, and then sample from the variable with moment generating function $M_k$.

This, combined with recognising that the terms in the above resemble the MGF of normal variables lead to the solution.

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    $\begingroup$ This is gold! man thanks $\endgroup$
    – user321656
    Commented Mar 4, 2018 at 13:24

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