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Contents
1 Definition
2 Examples
3 Calculation
o 3.1 Sum of independent random variables
o 3.2 Vector-valued random variables
4 Important properties
o 4.1 Calculations of moments
5 Other properties
7 See also
8 References
Definition
In probability theory and statistics, the moment-generating function of a random variable X is
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:
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
Binomial B(n, p)
Poisson Pois()
Uniform (continuous) U(a, b)
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(, )
Calculation
The moment-generating function is given by the RiemannStieltjes integral
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
Important properties
An important property of the moment-generating function is that if two distributions have the same momentgenerating function, then they are identical at almost all points.[2] 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
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.
See also
Rate function
References
1.
Bulmer, M.G., Principles of Statistics, Dover, 1979, pp. 7579
1.
Grimmett, Geoffrey. Probability - An Introduction. Oxford University Press. ISBN 978-019-853264-4.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.
[hide]
quantile function
raw moment
central moment
mean
variance
standard deviation
skewness
kurtosis
L-moment
characteristic function
cumulant
combinant
Categories:
Generating functions
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