Statement

Suppose M(θ)=EeθXM(\theta)=\mathbb E e^{\theta X} is finite on an open interval II, and let g=logMg=\log M. For θI\theta\in I,

g(θ)=EθX,g(θ)=Varθ(X)0,g'(\theta)=\mathbb E_\theta X,\qquad g''(\theta)=\operatorname{Var}_\theta(X)\ge0,

where Eθ\mathbb E_\theta uses the . If XX is not almost surely constant, then g>0g''>0 throughout II.

Derivation

On compact subintervals of II, nearby exponential moments dominate XkeθX|X|^k e^{\theta X} for each fixed kk. Differentiation under the integral gives M=E[XeθX]M'=\mathbb E[Xe^{\theta X}] and M=E[X2eθX]M''=\mathbb E[X^2e^{\theta X}]. Hence g=M/Mg'=M'/M and g=M/M(M/M)2g''=M''/M-(M'/M)^2. Positivity of the tilted density preserves the property of being almost surely nonconstant, proving strict positivity of the variance in that case.

References