Proc. Nat. Acad. Sci.

USA
Vol. 72, No. 10, pp. 3812-3814, October 1975
Mathematics

Point estimates for probability moments

(approximate methods/finite differences/numerical methods/probabilities)
EMILiO ROSENBLUETH
Instituto de Ingeniena, Universidad Nacional Autonoma de Mexico, Mexico 20, D. F., Mexico
Contributed by Emilio Rosenblueth, July 14,1975

ABSTRACT Given a well-behaved real function Y of a whose solution is

real random variable X and the first two or three moments of
X, expressions are derived for the moments of Y as linear 1
combinations of powers of the point estimates yfx+) and 1112] [6]
yfx-), where x+ and x- are specific values of X. Higher-order P+ = 1
21 -]Z
approximations and approximations for discontinuous Y
using more point estimates are also given. Second-moment P- = P+
1 - [7]
approximations are generalized to the case when Y is a func-
tion of several variables. X = X Tai TP+ [8]
It is often desirable to compute the expectation or first few In Eq. 6 the sign preceding the radical is that of -vx. For vx
moments of a function of random variables in terms of the << 1, P+ - vx/4.
first few moments of these variables. The usual approximate When vx is unknown it may be assumed nil. Then, P+ =
formulas (1) are obtained from the Taylor expansion of the and xL = X 4 ax. It follows from Eq. 1 that, in this case
function about the expectations of the random variables. (2),
This approach imposes excessive restrictions on the function
(existence and continuity of the first or first few derivatives) _-. _+ b__
and requires the computation of derivatives. These difficul- [9]
ties can be overcome through use of point estimates of the IY+ - Y-I
function, which leads to expressions akin to finite differ-
ences. vy [10]
y =I y+ y-

TWO-POINT ESTIMATES
Let X and Y be real random variables and Y = Y(X) a well- V _I1 Y+ -
Y-I [11]

behaved function. Given the expectation X, standard devia-

tion ax, and skewness coefficient vx of X we seek approxi- where V = coefficient of variation. When the first two de-
mate expressions for the moments of the distribution of Y. rivatives of Y(X) exist and are continuous in the neighbor-
The expressions should be valid for all distributions of X hood of X, Eq. 9 constitutes a second-order approximation
having the given parameters and they should be exact for (in the sense that we retain the first two non-zero terms of
the first three moments of Y when Y = X. We choose the the Taylor expansion of Y about X) while Eqs. 10 and 11 are
probability density functions P+6(k- x+) and P-b(X - first-order. Through the Taylor expansion of Y the usual ex-
x-), where P+ and P_ are coefficients, a is Dirac's delta, and pressions for Y and ay are obtained in terms of the first two
x+ and x- are specific values of X. The density function derivatives of Y at X (1). Both groups of approximations
consists thus of concentrations P+ and P_ at x+ and x-, re- yield identical results save for high-order terms but Eqs. 1
spectively. It follows that, when Y admits a Taylor expansion and 9-11 do not require the computation of derivatives, nor
about X, even their continuity nor yet their existence. However, re-
sults are poor for discontinuous functions Y(X) and for func-
E(Yn) -
p+y+ + p_y_ [1] tions having discontinuous first derivatives. This is discussed
subsequently.
where E(-) = expectation, means "equal to, save for
higher-order terms," yi = y(x+), and n is a real number.
When Y does not admit such expansion, the sign must be N-POINT ESTIMATES FOR FUNCTIONS OF A
replaced with . From Eq. 1 we can compute the parame- SINGLE VARIABLE
ters of the distribution of Y.
PF and x_ must satisfy the following simultaneous equa- When vx is negligible and the probability distribution of X
tions to meet the following conditions, is approximately gaussian, we can often improve the accura-
cy of Eq. 1 by taking the probability density to be concen-
P+ + P_ = 1 [2] trated at more than two points. Owing to the distribution's
symmetry, the concentrations must be symmetrical about X.
P+x+ + Px_ = X [3] For a three-point estimate, then, the concentrations are
P+ at x+, say P at X, and P_ at x- = 2X - x+ subject to
p+(X+ - X), + p(X_ - X)2 = X2 [4]
2P+ + P = 1 [12]
P+(X+ X)3 + P.(x. X)3 VX 3 X3 [5] 2P+(x+ - X)2 = ax [13]
3812
 Mathematics: Rosenblueth Proc. Nat. Acad. Sci. USA 72 (1975) 3813

X2 X3
4p I+p

a
X2
I
4
I+
4 _

x_ xI
X2
° 0~~~~~~~~~~~~~~~~~~~~~~~~~~~~~Xi XI
FIG. 1. Concentrations of probability density function when Y
= Y(X1, X2)-
FIG. 2. Concentrations of probability density function when Y
= Y(X1, X2, X3).
2P+(x+ -X) = 3ax4 [14]
Eq. 14 stems from the condition E[(X -)4] = 3oX when X Proceeding in like manner with n = 3, we obtain the con-
is gaussian. Solution of Eqs. 12-14 gives P+ = 1A, P = %, and centrations in Fig. 2, where the center of the hexahedron is
at X1, X2, X3, and
x+= X + qx/3
We may proceed analogously with estimates at a larger P+++ = P___ = (1/8)(1 + P12 + Paw + P-31)
number of points. Results can be obtained from the table in
ref. 3 (4). The larger the number of points, the more robust P++_= P__+ = (1/8)(1 + P12 - ;3 -P3)
will be the procedure relative to the irregularities in Y pro- P+-+ = P-l = (1/8)(1- P12 - P21 + P31)
vided X is gaussian.
We now seek a procedure using a three-point estimate ro- P+_ = P a+ = (1/8)(1- p12 + Pt P31)
bust relative to discontinuity at X. Consider the function of
Y = IXI. When X is gaussian, Y = 0.79788rx while Eq. 9 The quadrangle in Fig. 1 and the hexahedron in Fig. 2 be-
gives Y = ax or an error of 25%, and the foregoing three- come a rectangle and a prism when the standard deviation
point estimate gives Y = 0.57735ax or an error of 28%. A of each variable does not depend on the other variables. An
three-point estimate satisfying Eqs. 12 and 13 and the condi- interesting example in which this is not the case concerns
tion earthquake spectral ordinates when the random variables
are the damping ratio v and the spectral ordinates normal-
2P+(x+ - X) = 0.79788rx [15] ized with respect to their expectations given r (5). The stan-
Q
has as solution P+ = 1/r 0.32, P = 1 -'ir-0.36, and x+ dard deviation of the latter variable decreases rapidly with
- X = orxV/7r 1.25ux. It gives the exact Y when X is increasing A. Hence, when err is large the quadrangle is al-
gaussian and Y(X) consists of two straight lines with differ- most a triangle.
ent slopes and discontinuous at X. [When Y is discontinuous When the random variables are statistically independent,
we replace it with the average y(X) for computation of the following approximations (2), which also generalize Eqs.
Py(X).] 9 and 11, are more convenient and equally valid,
Similar approximations can be derived for cases in which
Y or its first derivative is discontinuous at x # X. y . Y. Y2 Yn
[16]
y yy y
FUNCTIONS OF SEVERAL VARIABLES 1 + VI'2 (1 + VY,2)(1 + VY. (1 + V}' 2) [17]
The procedure leading to Eqs. 9-11 has been generalized to
functions of several random variables which may be corre- where y = yOcl, X2, .. ., X1n), and Yij and Vy, are the expec-
lated (2). The joint probability density is assumed concen- tation and coefficient of variation of Y computed as though
trated at points in the 2n hyperquadrants of the space de- Xi were the only random variable and the others were equal
fined by the n random variables. It will be illustrated for n to their expectations. If Y is the product of functions of XI
= 2and 3. only, X2 only, etc., Eqs. 16 and 17 are exact. They require
Let Y = Y(XI, X2). The coordinates and magnitudes of only 2n + 1 or 2n point estimates.
the concentrations must be independent of the function Y.
By making Y equal first to XI and then to X2 we find that EXAMPLES
the coordinates of the four points must be Xl 4 ax,, X2 i Consider the function Y = Xk where the distribution of X is
uX2, that the sum of an adjacent pair of concentrations must lognormal with X = 1 and Vx = 0.2. The exact parameters
be 'A, and that the concentrations must be symmetrical of the distribution of Y are given by
about Xl, X2. If p = correlation coefficients of X, and X2,
we find that the difference between adjacent concentrations
must be b p/2. The magnitudes of the concentrations that y = Xk(1 + Vx2)k(k-1)/2 [18]
meet these conditions are shown in Fig. 1. 1 + Vy2 = (1 + VX2)k [19]
3814 Mathematics: Rosenblueth
It follows from Eq. 18 that E[(X -X)3 = X3VX(3 + VI).
Hence, vx = VX(3 + V2] = 0.608. According to Eqs. 6-8,
P+ = 0.35457, . With k = 3 the exact answer is, from
Eqs. 18 and 19, Y = 1.125, Vy = 0.651. Eq. 1 yields the
same value of Y and Vy = 0.693 while, according to Eqs. 9
and 11, Y = 1.120, Vy 0.543.
Consider now Y = XjX2, X1_= X2 = 1, ax, = qx2 = 0.5, p
= 0 (2). According to Fig. 1, Y = 1.5625, Vy = 1.639. Eqs.
16 and 17 yield the same estimate for ? and Vy = 1.300.
With the same data but oxi = OX2 = 0.1, Fig. 1 gives Y =
1.0201 and Vy = 0.282. These coincide to the last significant
digit with results of applying Eqs. 16 and 17.
I am indebted to Niels C. Lind for his helpful criticisms.
Proc. Nat. Acad. Sd. USA 72 (1975)
1. Benjamin, J. R. & Cornell, C. A. (1970) Probability, Statistics,
and Decision for Civil Engineers (McGraw-Hill Book Co.,
New York).
2. Rosenblueth, E. (1974) "Aproximaciones de segundos momen-
tos en probabilidades," Boletin del Instituto Mexicano de Pla-
neacibn y Operacibn de Sistemas 26, November-December,
1-12.
3. Salzer, H. E., Zucker, R. & Capuano, R. (1952) "Table of the
zeros and weight factors of the first twenty hermite polynomi-
als," Journal of Research National Bureau of Standards,
RP2294, 48,111-116.
4. Abramowitz, N. & Stegun, L. A. (1968) in Handbook of Mathe-
matical Functions (Dover Publications, Inc., New York), p.
924.
5. Rosenblueth, E. (1975) Optimum resource allocation to re-
search, to be presented at Fifth European Symposium on
Earthquake Engineering, Istanbul, September 1975.