Moment-generating function - AbsoluteAstronomy.com

Probability theory

Probability theory is the branch of mathematics concerned with analysis of random phenomena. The central objects of probability theory are random variables, stochastic processes, and events: mathematical abstractions of non-deterministic events or measured quantities that may either be single...

and statistics

Statistics

Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....

, the moment-generating function of any random variable

Random variable

In probability and statistics, a random variable or stochastic variable is, roughly speaking, a variable whose value results from a measurement on some type of random process. Formally, it is a function from a probability space, typically to the real numbers, which is measurable functionmeasurable...

is an alternative definition of its probability distribution

Probability distribution

In probability theory, a probability mass, probability density, or probability distribution is a function that describes the probability of a random variable taking certain values....

. Thus, it provides the basis of an alternative route to analytical results compared with working directly with probability density function

Probability density function

In probability theory, a probability density function , or density of a continuous random variable is a function that describes the relative likelihood for this random variable to occur at a given point. The probability for the random variable to fall within a particular region is given by the...

s or cumulative distribution function

Cumulative distribution function

In probability theory and statistics, the cumulative distribution function , or just distribution function, describes the probability that a real-valued random variable X with a given probability distribution will be found at a value less than or equal to x. Intuitively, it is the "area so far"...

s. There are particularly simple results for the moment-generating functions of distributions defined by the weighted sums of random variables.

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

Characteristic function (probability theory)

In probability theory and statistics, the characteristic function of any random variable completely defines 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...

. 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

Probability theory

and statistics

Statistics

, the moment-generating function of a random variable

Random variable

X is

wherever this expectation

Expected value

In probability theory, the expected value of a random variable is the weighted average of all possible values that this random variable can take on...

exists.

always exists and is equal to 1.

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

Characteristic function (probability theory)

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

, an n-dimensional random vector, one uses

instead of tX:

Why the moment-generating function is defined this way

The reason for defining this function is that it can be used to find all the moments of the distribution. The series expansion of e^tX is

Hence

where m_i is the ith moment

Moment (mathematics)

In mathematics, a moment is, loosely speaking, a quantitative measure of the shape of a set of points. The "second moment", for example, is widely used and measures the "width" of a set of points in one dimension or in higher dimensions measures the shape of a cloud of points as it could be fit by...

.

If we differentiate M_X(t) i times with respect to t and then set t = 0 we shall therefore obtain the ith moment about the origin, m_i. This is summarized more compactly below in the section entitled "Calculations of moments."

Examples

Distribution	Moment-generating function M_X(t)	Characteristic function φ(t)
Bernoulli
Geometric	, for
Binomial B(n, p)
Poisson Poisson distribution In probability theory and statistics, the Poisson distribution is a discrete probability distribution that expresses the probability of a given number of events occurring in a fixed interval of time and/or space if these events occur with a known average rate and independently of the time since... Pois(λ)
Uniform Uniform distribution (continuous) In probability theory and statistics, the continuous uniform distribution or rectangular distribution is a family of probability distributions such that for each member of the family, all intervals of the same length on the distribution's support are equally probable. The support is defined by... U(a, b)
Normal N(μ, σ²)
Chi-squared χ²_k
Gamma Γ(k, θ)
Exponential Exponential distribution In probability theory and statistics, the exponential distribution is a family of continuous probability distributions. It describes the time between events in a Poisson process, i.e... Exp(λ)
Multivariate normal N(μ, Σ)
Degenerate δ_a
Laplace L(μ, b)
Cauchy Cauchy distribution The Cauchy–Lorentz distribution, named after Augustin Cauchy and Hendrik Lorentz, is a continuous probability distribution. As a probability distribution, it is known as the Cauchy distribution, while among physicists, it is known as the Lorentz distribution, Lorentz function, or Breit–Wigner... Cauchy(μ, θ)	not defined

|-
| Negative Binomial

Negative binomial distribution

In probability theory and statistics, the negative binomial distribution is a discrete probability distribution of the number of successes in a sequence of Bernoulli trials before a specified number of failures occur...

NB(r, p)
|

|-
|}

Calculation

The moment-generating function is given by the Riemann–Stieltjes integral

where F is the cumulative distribution function

Cumulative distribution function

.

If X has a continuous probability density function

Probability density function

ƒ(x), then M_X(−t) is the two-sided Laplace transform

Two-sided Laplace transform

In mathematics, the two-sided Laplace transform or bilateral Laplace transform is an integral transform closely related to the Fourier transform, the Mellin transform, and the ordinary or one-sided Laplace transform...

of ƒ(x).

where m_i is the ith moment

Moment (mathematics)

Sum of independent random variables

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

where the a_i are constants, then the probability density function for S_n is the convolution

Convolution

In mathematics and, in particular, functional analysis, convolution is a mathematical operation on two functions f and g, producing a third function that is typically viewed as a modified version of one of the original functions. Convolution is similar to cross-correlation...

of the probability density functions of each of the X_i, and the moment-generating function for S_n is given by

Vector-valued random variables

For vector-valued random variables X with real

Real number

In mathematics, a real number is a value that represents a quantity along a continuum, such as -5 , 4/3 , 8.6 , √2 and π...

components, the moment-generating function is given by

where t is a vector and

is the dot product

Dot product

In mathematics, the dot product or scalar product is an algebraic operation that takes two equal-length sequences of numbers and returns a single number obtained by multiplying corresponding entries and then summing those products...

Important properties

The most important property of the moment-generating function is that if two distributions have the same moment-generating function, then they are identical at all points. That is, if for all values of t,

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

Moment (mathematics)

of the probability distribution

Probability distribution

In probability theory, a probability mass, probability density, or probability distribution is a function that describes the probability of a random variable taking certain values....

n should be nonnegative.

Other properties

Hoeffding's lemma

In probability theory, Hoeffding's lemma is an inequality that bounds the moment-generating function of any bounded random variable. It is named after the Finnish–American mathematical statistician Wassily Hoeffding....

provides a bound on the moment-generating function in the case of a zero-mean, bounded random variable.

Relation to other functions

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

characteristic function

Characteristic function (probability theory)

: The characteristic function

Characteristic function (probability theory)

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

Fourier transform

In mathematics, Fourier analysis is a subject area which grew from the study of Fourier series. The subject began with the study of the way general functions may be represented by sums of simpler trigonometric functions...

of the probability density function

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

Characteristic function (probability theory)

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

probability-generating function

Probability-generating function

In probability theory, the probability-generating function of a discrete random variable is a power series representation of the probability mass function of the random variable...

: The probability-generating function

Probability-generating function

In probability theory, the probability-generating function of a discrete random variable is a power series representation of the probability mass function of the random variable...

is defined as

This immediately implies that

Definition

Why the moment-generating function is defined this way

Examples

Calculation

Sum of independent random variables

Vector-valued random variables

Important properties

Calculations of moments

Other properties

Relation to other functions

See also