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Moment Generating Function

The moment-generating function provides an alternative way to characterize a random variable's probability distribution compared to the probability density function or cumulative distribution function. It allows moments of the distribution to be determined and has properties that make calculations simpler for distributions that are sums of random variables. However, not all random variables have moment-generating functions defined.

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348 views

Moment Generating Function

The moment-generating function provides an alternative way to characterize a random variable's probability distribution compared to the probability density function or cumulative distribution function. It allows moments of the distribution to be determined and has properties that make calculations simpler for distributions that are sums of random variables. However, not all random variables have moment-generating functions defined.

Uploaded by

Mohankumar Ramachandran
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
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Moment-generating function

Moment-generating function
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 moment-generating functions. In addition to univariate distributions, moment-generating functions can be defined for vector- or matrix-valued 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.

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

wherever this expectation exists. always exists and is equal to1. 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 oftX:
T

, an n-dimensional random vector, one uses

instead

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:

where mn is the nth moment. If we differentiate MX(t) i times with respect to t and then set t=0 we shall therefore obtain the ith moment about the origin, mi.

Moment-generating function

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.
Distribution Bernoulli Geometric for Binomial B(n, p) Poisson Pois() Uniform (continuous) U(a, b) , Moment-generating function MX(t) Characteristic function (t)

Uniform (discrete) U(a, b)

Normal N(, 2) Chi-squared 2k Gamma (k, ) Exponential Exp() Multivariate normal N(, ) Degenerate a Laplace L(, b)

Negative Binomial NB(r, p)

Cauchy Cauchy(, )

does not exist

Calculation
The moment-generating function is given by the RiemannStieltjes integral

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

where mn is the nth moment.

Moment-generating function

Sum of independent random variables


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

Vector-valued random variables


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

where t is a vector and

is the dot product.

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. That is, if for all values oft,

then

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

does not exist. This happens for the lognormal distribution.

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:

Here n should be a nonnegative integer.

Other properties
Hoeffding's lemma provides a bound on the moment-generating function in the case of a zero-mean, bounded random variable.

Moment-generating function

Relation to other functions


Related to the moment-generating function are a number of other transforms that are common in probability theory: characteristic function The characteristic function is related to the moment-generating function via

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 This immediately implies that

References
[1] Bulmer, M.G., Principles of Statistics, Dover, 1979, pp. 7579

Casella, George; Berger, Roger. Statistical Inference (2nd ed.). pp.5968. ISBN978-0-534-24312-8.

Article Sources and Contributors

Article Sources and Contributors


Moment-generating function Source: http://en.wikipedia.org/w/index.php?oldid=534636368 Contributors: Aastrup, Amahoney, Amonet, Apoorv020, Bgwhite, Bjcairns, ClockworkLunch, ConcernedScientist, Entropeneur, Ergo-Nord, Erikjm, Ettrig, Fangz, First Harmonic, Flavio Guitian, Giftlite, JRSpriggs, Jackzhp, Jamelan, Jfr26, Jk350, Jowa fan, Katovatzschyn, Kimaaron, Koertefa, Lim Wei Quan, LimoWreck, Magioladitis, Mark.Muldoon, Megamonocle, Melcombe, Mevalabadie, Michael Hardy, Mike409, Nbarth, Netheril96, Nneonneo, PAR, Paul August, Polymath1976, QFT, Qwfp, Ramiromagalhaes, Ricardogpn, Rrogers314, Schmock, Teply, Wollmich, Zahlentheorie, Zeimusu, Ztobor, 89 anonymous edits

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