- Y = X^2
\begin{align*}
&M_Y(t) = E(e^{tY}) = E(e^{tX^2})
\\[15pt]
&= \int_{-\infty}^{\infty}
e^{tX^2} \cdot
\frac{1}{\sqrt{2\pi}}
\exp\bigg({-\frac{x^2}{2}}\bigg)
\\[15pt]
&= \frac{1}{\sqrt{2\pi}}
\int_{-\infty}^{\infty}
\exp\bigg[
-{\frac{x^2}{2}}~(1-2t)\bigg]
\\[15pt]
&= \frac{1}{\sqrt{2\pi}}~\cdot~
\sqrt{2\pi}~~\cdot~~
\sqrt{\frac{1}{1-2t}}
\\[15pt]
&= (1-2t) \raisebox{0.7em}
{$ \scriptstyle -
\textstyle \frac{1}{2}$}
\end{align*}
정리해보면…
- ~X~\sim N(0, 1)
- X^2 \sim Gamma(\alpha = 1/2,~\beta = 2) \equiv \chi^2(1)