20 views

Uploaded by Arun Sharma

moment

- Mathcad for in Class Examples in a Random Processes Course (1)
- Achorripsis
- Supply & Demand 2
- Sheets
- PolyM1_English
- L_04.pdf
- Mathematics Statistics 1
- Call Letter for Reliable Techno Designs
- Option Pricing Formulae Using Fourier Transform
- Prob Stat Eng
- Introduction Mm(m) Coursework t2
- Fixed Point Theorm In Probabilistic Analysis
- Chapter 3
- psychology assignment
- CHAPTER 1 Part 1 Student
- Anne Fey, Ronald Meester and Frank Redig- Stabilizability and percolation in the infinite volume sandpile model
- Chapter 2 Graphical Models Jordan
- The Use of Facet Theory For The Identification of Scholastic Competences - Roazzi et al. 2006
- hw1
- Solutions Practice Questions 3

You are on page 1of 6

Moment-generating function

From Wikipedia, the free encyclopedia

In probability theory and statistics, the moment-generating function of a random variable is an alternative

specification of its probability distribution. Thus, it provides the basis of an alternative route to analytical

results compared with working directly with probability density functions or cumulative distribution

functions. There are particularly simple results for the moment-generating functions of distributions defined

by the weighted sums of random variables. Note, however, that not all random variables have momentgenerating functions.

In addition to univariate distributions, moment-generating functions can be defined for vector- or matrixvalued random variables, and can even be extended to more general cases.

The moment-generating function does not always exist even for real-valued arguments, unlike the

characteristic function. There are relations between the behavior of the moment-generating function of a

distribution and properties of the distribution, such as the existence of moments.

Contents

1 Definition

2 Examples

3 Calculation

3.1 Sum of independent random variables

3.2 Vector-valued random variables

4 Important properties

4.1 Calculations of moments

5 Other properties

6 Relation to other functions

7 See also

8 References

Definition

In probability theory and statistics, the moment-generating function of a random variable X is

always exists and is equal to 1.

http://en.wikipedia.org/wiki/Moment-generating_function

1/6

11/9/2014

A key problem with moment-generating functions is that moments and the moment-generating function

may not exist, as the integrals need not converge absolutely. By contrast, the characteristic function always

exists (because it is the integral of a bounded function on a space of finite measure), and thus may be used

instead.

More generally, where

instead of tX:

T,

The reason for defining this function is that it can be used to find all the moments of the distribution.[1] The

series expansion of etX is:

Hence:

Differentiating MX(t) i times with respect to t and setting t = 0 we hence obtain the ith moment about the

origin, mi, see Calculations of moments below.

Examples

Here are some examples of the moment generating function and the characteristic function for comparison.

It can be seen that the characteristic function is a Wick rotation of the moment generating function Mx(t)

when the latter exists.

http://en.wikipedia.org/wiki/Moment-generating_function

2/6

11/9/2014

Distribution

Bernoulli

,

Geometric

for

Binomial B(n, p)

Poisson Pois()

Uniform (continuous) U(a, b)

Uniform (discrete) U(a, b)

Normal N(, 2)

Chi-squared k2

Gamma (k, )

Exponential Exp()

Multivariate normal N(, )

Degenerate a

Laplace L(, b)

Negative Binomial NB(r, p)

Cauchy Cauchy(, )

Calculation

The moment-generating function is given by the RiemannStieltjes integral

If X has a continuous probability density function (x), then MX(t) is the two-sided Laplace transform of

(x).

http://en.wikipedia.org/wiki/Moment-generating_function

3/6

11/9/2014

If X1, X2, ..., Xn is a sequence of independent (and not necessarily identically distributed) random variables,

and

where the ai are constants, then the probability density function for Sn is the convolution of the probability

density functions of each of the Xi, and the moment-generating function for Sn is given by

For vector-valued random variables X with real components, the moment-generating function is given by

Important properties

An important property of the moment-generating function is that if two distributions have the same

moment-generating function, then they are identical at almost all points.[2] That is, if for all values of t,

then

http://en.wikipedia.org/wiki/Moment-generating_function

4/6

11/9/2014

for all values of x (or equivalently X and Y have the same distribution). This statement is not equivalent to

``if two distributions have the same moments, then they are identical at all points", because in some cases

the moments exist and yet the moment-generating function does not, because in some cases the limit

Calculations of moments

The moment-generating function is so called because if it exists on an open interval around t = 0, then it is

the exponential generating function of the moments of the probability distribution:

Other properties

Hoeffding's lemma provides a bound on the moment-generating function in the case of a zero-mean,

bounded random variable.

Related to the moment-generating function are a number of other transforms that are common in probability

theory:

characteristic function

The characteristic function

the characteristic function is the moment-generating function of

iX or the moment generating function of X evaluated on the imaginary axis. This function can also be

viewed as the Fourier transform of the probability density function, which can therefore be deduced

from it by inverse Fourier transform.

cumulant-generating function

The cumulant-generating function is defined as the logarithm of the moment-generating function;

some instead define the cumulant-generating function as the logarithm of the characteristic function,

while others call this latter the second cumulant-generating function.

probability-generating function

The probability-generating function is defined as

http://en.wikipedia.org/wiki/Moment-generating_function

5/6

11/9/2014

See also

Factorial moment generating function

Rate function

Hamburger moment problem

References

1. ^ Bulmer, M.G., Principles of Statistics, Dover, 1979, pp. 7579

2. ^ Grimmett, Geoffrey. Probability - An Introduction. Oxford University Press. ISBN 978-0-19-8532644.Template:Page 101 ff

Casella, George; Berger, Roger. Statistical Inference (2nd ed.). pp. 5968. ISBN 978-0-534-24312-8.

Grimmett, Geoffrey; Welsh, Dominic. Probability - An Introduction (1st ed.). pp. 101 ff. ISBN 9780-19-853264-4.

Retrieved from "http://en.wikipedia.org/w/index.php?title=Momentgenerating_function&oldid=604362082"

Categories: Theory of probability distributions Generating functions

This page was last modified on 15 April 2014 at 21:41.

Text is available under the Creative Commons Attribution-ShareAlike License; additional terms may

apply. By using this site, you agree to the Terms of Use and Privacy Policy. Wikipedia is a

registered trademark of the Wikimedia Foundation, Inc., a non-profit organization.

http://en.wikipedia.org/wiki/Moment-generating_function

6/6

- Mathcad for in Class Examples in a Random Processes Course (1)Uploaded byChristine Petate
- AchorripsisUploaded byPaul Dupont
- Supply & Demand 2Uploaded bymgpchang
- SheetsUploaded byharryjp
- PolyM1_EnglishUploaded byapi-3773410
- L_04.pdfUploaded byALIKNF
- Mathematics Statistics 1Uploaded byHoghunsholaStephenAdeshina
- Call Letter for Reliable Techno DesignsUploaded byanon-430485
- Option Pricing Formulae Using Fourier TransformUploaded byAL
- Prob Stat EngUploaded byVaibhav Gupta
- Introduction Mm(m) Coursework t2Uploaded byTobaccotyc
- Fixed Point Theorm In Probabilistic AnalysisUploaded byInternational Organization of Scientific Research (IOSR)
- Chapter 3Uploaded bykashishnagpal
- psychology assignmentUploaded byapi-3840828
- CHAPTER 1 Part 1 StudentUploaded byNasuha Mutalib
- Anne Fey, Ronald Meester and Frank Redig- Stabilizability and percolation in the infinite volume sandpile modelUploaded byHemAO1
- Chapter 2 Graphical Models JordanUploaded byLovekesh Thakur
- The Use of Facet Theory For The Identification of Scholastic Competences - Roazzi et al. 2006Uploaded byAntonio Roazzi
- hw1Uploaded bythewodros
- Solutions Practice Questions 3Uploaded byapi-3737025
- Chapter 2 Probabilistic Cost AnalysisUploaded byMateri Belajar
- Exemples CorrectionUploaded byALIO
- Chernoff Cramer TheoremUploaded byKarthik Mohan K
- Lecture 12Uploaded byball sack
- a Phenomenon of Low-Alloy Steel Distribution TransformationUploaded byIJAERS JOURNAL
- 02 ProbabilityUploaded byfireball394
- STUploaded byanon_62136706
- Questions 2Uploaded bygobigupta
- S. V. Astashkin- Systems of random variables equivalent in distribution to the Rademacher system and K-closed representability of Banach couplesUploaded byJutyyy
- 20_16th January 2009 (160109)Uploaded byChaanakya_cuim

- UPSC Recruitment | Engineering Service Examination Across IndiaUploaded byTrcStaff
- Rician Fading - Wikipedia, The Free EncyclopediaUploaded byArun Sharma
- Net Result June 2011 Roll WiseUploaded bywoahbo
- Rice Distribution - Wikipedia, The Free EncyclopediaUploaded byArun Sharma
- CPF2014-EUploaded byJayant Modi
- Oct-2013Uploaded byArun Sharma
- Phd Admission 2014Uploaded byArun Sharma
- Rayleigh Distribution - Wikipedia, The Free EncyclopediaUploaded byArun Sharma
- Online Recruitment Application (Ora) Powerd by NicUploaded byArun Sharma
- N5610_1Uploaded byArun Sharma
- PrajapatiUploaded byArun Sharma
- Csir Net June 2014Uploaded byRimjhim Roy Choudhury
- New Neural Network Based Mobile Location Estimation in a MetropolitanUploaded bySyed Mudassar Ali
- CSIR JRF/Net Result Dec 2013Uploaded byviveknarayan
- Nov-2013Uploaded byArun Sharma
- EngUploaded byArun Sharma
- ltrUploaded byArun Sharma
- Status of SC in KarnatakaUploaded byVenugopal PN
- Google MapsUploaded byArun Sharma
- Dec-2013Uploaded byArun Sharma
- HBI Forms m14Uploaded byArun Sharma
- nursing booksUploaded bykuldeekashyap2014
- HBI_fee_M14Uploaded byArun Sharma
- JamadagniUploaded byArun Sharma
- Ece Syllabus HptuUploaded bySumit Kaushik
- HBI_M14Uploaded byArun Sharma
- Central Limit Theorem - Wikipedia, The Free EncyclopediaUploaded byArun Sharma
- Cumulative Distribution Function - Wikipedia, The Free EncyclopediaUploaded byArun Sharma
- IBPS Specialist IT Papers 2012, 2013 & CutoffsUploaded byArun Sharma

- 09.Diaphragm ActuatorUploaded byprihartono_dias
- IRJET- Designing of Single Ended Primary Inductance Converter for Solar PV Application using Arduino ControllerUploaded byIRJET Journal
- Synergy Calc V5Uploaded byRoberto Kiel
- Schedule of EventsUploaded byRadhaAnanthalekshmi
- loggUploaded byhazel_leonidas
- Cnetcam2 Full Manual EngUploaded byVlado Lupčo
- Geo LibsUploaded byrenish_mehta
- A High-Efficiency Dimmable LED Driver for low power lighting conditions.pdfUploaded bySanchit Batra
- HIOKI 3151 ManualUploaded byRaul Marihuan González
- Factorized Load FlowUploaded byspawn1984
- Ok J ABB Ability TM System 800xA AC 800M Control and IO OverviewUploaded byJose Mella
- Fundamentals of CanduUploaded byevo2005_2006
- Advanced Servlet TechniquesUploaded byoparikoko
- Coastal Engineering ManualUploaded byGerry Roberts
- Indoor Towline GliderUploaded bymikebuts
- ENCRYPTION AND DECRYPTION PROCESS USING QUATERNION AND FAREY FRACTIONS FOR SECURE TRANSMISSIONUploaded byIRJCS-INTERNATIONAL RESEARCH JOURNAL OF COMPUTER SCIENCE
- 8 a Novel Approach for Greater Added Value and Improved ReturnsUploaded byxinghust
- Build it Yourself Electric Motor Investigatory ProjectUploaded byIvan Montenegro
- Nuke GlossaryUploaded byadradu
- Smart Pressure TransmitterUploaded byNAYEEM
- Visual.vsti.ProgrammingUploaded byKazzuss
- Complete Okuma Lathe G and M CodesUploaded byRevolusiSoekarno
- Measuring T1 and T2Uploaded bydrnmrdrnmr
- PresentationUploaded byArifur Rahman Shahed
- UNIT-3Uploaded byssrkm gupta
- The sed commandUploaded byTAPAN TALUKDAR
- At FS750 48 DatasheetUploaded bymarcosecondo
- EXIF TagsUploaded byMAninder
- Test 07 Energy 05dkUploaded byIsrael Lives
- Variation_Method.pdfUploaded byAna Maria Pereira