2018-08

Expected Value, Variance and Covariance of Natural Powers of

Representative Standard Random Variables

Hugo Hernandez
ForsChem Research, 050030 Medellin, Colombia
hugo.hernandez@forschem.org

doi: 10.13140/RG.2.2.15187.07205

Abstract

Arbitrary nonlinear functions of random variables can always be described as a series of natural
powers of the corresponding random variables. Furthermore, random variables can always be
expressed in terms of standard random variables. Thus, nonlinear functions of random
variables ultimately can be represented by series of natural power functions of standard
random variables. In this report, the properties of natural power functions for different
representative standard random variables are summarized, and their use is exemplified with
different practical examples. The standard random variables considered include standard
normal, standard uniform, standard exponential, standard Maxwell-Boltzmann, and standard
polynomial distributions. The lognormal distribution is considered as a particular case of study.

Keywords

Lognormal Distribution, Natural Power Functions, Nonlinear Functions, Normal Distribution,

Power Series Expansion, Random Variables, Standard Random Variables

1. Introduction

Standard random variables [1] can be used to represent families of random variables, as well
random functions involving those random variables, in a simple way. The use of standard
random variables for describing arbitrary random variables facilitates the determination of
their most important properties, such as expected value, variance and probability density
functions.

Any arbitrary nonlinear function of a random variable can be expressed as a power series
expansion of the corresponding standard random variable. Furthermore, nonlinear functions of
several random variables can also be expressed as series of products of different power of

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

each standard random variable involved [2]. Therefore, the properties of such arbitrary
nonlinear function of random variables can easily be obtained from the corresponding
properties of the powers of standard random variables.

Standard random variables ( ) are normalized representations of the random behavior of

variables. The standard random variable is basically a linear transformation of a random
variable , given by:

(1.1)

where, and represent constant parameters. Therefore, any random variable can be
expressed in terms of the corresponding standard random variable as:

(1.2)

Realizations of the random variable are represented by . Similarly, realizations of the

standard random variable are represented by .

Possible types of standard random variables and their main characteristics are summarized in
Table 1.
Table 1. Types and Features of Standard Random Variables [3]
Parameters
Type Properties of Bounds of Bounds of

( ) ( )
( )
[ ) [ )
( )
I ( ) ( ) ( ) ( ) ( )
( ] ( ]
( )
( ) ( )
[ ] [ ]
( ) ( )
[ ) [ ) ( )
II ( ) ( )
( ] [ ) ( )
III ( ) ( ) [ ] [ ]

The purpose of this report is to present the properties of the first natural powers for some
representative standard random variables. Particularly, the following standard random
variables are considered: Type I Normal, Type I Uniform, Type III Uniform, Type I Exponential,
Type II Exponential, Type II Maxwell-Boltzmann, Type II Integrated-Normal, and Type III
Polynomial. Particular examples are presented in order to illustrate the use of the properties of
natural powers of standard random variables, including the Lognormal distribution.

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2. Properties of Powers of Standard Random Variables

2.1. Type I Standard Normal Random Variable

Probability density function:

( )
√
(2.1)

Figure 1. Type I Standard Normal Random Variable.

Expected value of natural power functions (moments about zero):

( ) ∫ {
√ ∏| |

(2.2)
Table 2. Expected Value of Powers of the Type I Standard Normal Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 0 1 0 3 0 15
( ) ( ) ( ) ( ) ( ) ( ) ( )
0 105 0 945 0 10395 0
( ) ( ) ( ) ( ) ( ) ( ) ( )
135135 0 2027025 0 34459425 0 654729075

Table 3. Variance (Diagonal) and Covariance of Powers of the Type I Standard Normal Random Variable
Cov
0 0 0 0 0 0 0
0 1 0 3 0 15 0
0 0 2 0 12 0 90
0 3 0 15 0 105 0
0 0 12 0 96 0 900
0 15 0 105 0 945 0
0 0 90 0 900 0 10170

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2.2. Type I Standard Uniform Random Variable

Probability density function:

( ) √ √
√
(2.3)

Figure 2. Type I Standard Uniform Random Variable.

Expected value of natural power functions (moments about zero):

√ √ ( √ )
( ) ∫ {√
√ √ √ ( )
(2.4)

Table 4. Expected Value of Powers of the Type I Standard Uniform Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 0 1 0 1.8 0 3.85714
( ) ( ) ( ) ( ) ( ) ( ) ( )
0 9 0 22.0909 0 56.0769 0
( ) ( ) ( ) ( ) ( ) ( ) ( )
145.8 0 385.941 0 1035.95 0 2811.86

Table 5. Variance (Diagonal) and Covariance of Powers of the Type I Standard Uniform Random Variable
Cov
0 0 0 0 0 0 0
0 1 0 3 0 3.85714 0
0 0 0.8 0 2.05714 0 5.14286
0 1.8 0 3.85714 0 9 0
0 0 2.05714 0 5.76 0 15.1481
0 3.85714 0 9 0 22.0909 0
0 0 5.14286 0 15.1481 0 41.1994

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2.3. Type III Standard Uniform Random Variable

Probability density function:

( )
(2.5)

Figure 3. Type III Standard Uniform Random Variable.

Expected value of natural power functions (moments about zero):

( ) ∫

(2.6)

Table 6. Expected Value of Powers of the Type III Standard Uniform Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 0.5 0.333333 0.25 0.2 0.166667 0.142857
( ) ( ) ( ) ( ) ( ) ( ) ( )
0.125 0.111111 0.1 0.090909 0.083333 0.076923 0.071429
( ) ( ) ( ) ( ) ( ) ( ) ( )
0.066667 0.0625 0.058824 0.055556 0.052632 0.05 0.047619

Table 7. Variance (Diagonal) and Covariance of Powers of the Type III Standard Uniform Random Variable
Cov
0 0 0 0 0 0 0
0 0.083333 0.083333 0.075 0.066667 0.059524 0.053571
0 0.083333 0.088889 0.083333 0.076190 0.069444 0.063492
0 0.075 0.083333 0.080357 0.075 0.069444 0.064286
0 0.066667 0.076190 0.075 0.071111 0.066667 0.062338
0 0.059524 0.069444 0.069444 0.066667 0.063131 0.059524
0 0.053571 0.063492 0.064286 0.062338 0.059524 0.056515

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2.4. Type I Standard Exponential Random Variable

Probability density function:

( ) ( )

(2.7)

Figure 4. Type I Standard Exponential Random Variable.

Expected value of natural power functions (moments about zero):

( )
( )
( ) ∫ ∑

(2.8)

Table 8. Expected Value of Powers of the Type I Standard Exponential Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 0 1 2 9 44 265
( ) ( ) ( ) ( ) ( ) ( ) ( )
1854 14833 133496 1334961 14684570 176214841 2.29x109
( ) ( ) ( ) ( ) ( ) ( ) ( )
3.21x1010 4.81x1011 7.70x1012 1.31x1014 2.36x1015 4.48x1016 8.95x1017

Table 9. Variance (Diagonal) and Covariance of Powers of the Type I Standard Exponential Random
Variable
Cov
0 0 0 0 0 0 0
0 1 2 9 44 265 1854
0 2 8 42 256 1810 14568
0 9 42 261 1836 14745 132966
0 44 256 1836 14752 133100 1332576
0 265 1810 14745 133100 1333025 14672910
0 1854 14568 132966 1332576 14672910 176144616

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2.5. Type II Standard Exponential Random Variable

Probability density function:

( )
(2.9)

Figure 5. Type II Standard Exponential Random Variable.

Expected value of natural power functions (moments about zero):

( ) ∫

(2.10)

Table 10. Expected Value of Powers of the Type II Standard Exponential Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 1 2 6 24 120 720
( ) ( ) ( ) ( ) ( ) ( ) ( )
5040 40320 362880 3628800 39916800 479001600 6.23x109
( ) ( ) ( ) ( ) ( ) ( ) ( )
10 12 13 14 15 17 18
8.72x10 1.31x10 2.09x10 3.56x10 6.40x10 1.22x10 2.43x10

Table 11. Variance (Diagonal) and Covariance of Powers of the Type II Standard Exponential Random
Variable
Cov
0 0 0 0 0 0 0
0 1 4 18 96 600 4320
0 4 20 108 672 4800 38880
0 18 108 684 4896 39600 358560
0 96 672 4896 39744 360000 3611520
0 600 4800 39600 360000 3614400 39830400
0 4320 38880 358560 3611520 39830400 478483200

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2.6. Type II Standard Maxwell-Boltzmann Random Variable

Probability density function [4]:

( )
(2.11)

Figure 6. Type II Standard Maxwell-Boltzmann Random Variable.

Expected value of natural power functions (moments about zero) [5]:

( )
( )
( ) ∏ ( )
( ) ∫

( ) ∏( )
{
(2.12)

Table 12. Expected Value of Powers of the Type II Standard Maxwell-Boltzmann Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 1 1.17810 1.57080 2.31319 3.70110 6.35871
( ) ( ) ( ) ( ) ( ) ( ) ( )
11.6274 22.4735 45.6605 97.0787 215.17 495.60 1183.0
( ) ( ) ( ) ( ) ( ) ( ) ( )
2919.3 7432.8 19489 52539 145412 412641 1199167

Table 13. Variance (Diagonal) and Covariance of Powers of the Type II Standard Maxwell-Boltzmann
Random Variable
Cov
0 0 0 0 0 0 0
0 0.178097 0.392699 0.742392 1.38791 2.65761 5.26864
0 0.392699 0.925275 1.85055 3.63355 7.26710 14.9824
0 0.742392 1.85055 3.89131 7.99381 16.6599 35.6723
0 1.38791 3.63355 7.99381 17.1227 37.0992 82.3698
0 2.65761 7.26710 16.6599 37.0992 83.3805 191.636
0 5.26864 14.9824 35.6723 82.3698 191.636 455.162

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2.7. Type II Standard Integrated-Normal Random Variable

Probability density function [2]:

( )
√
(2.13)

Figure 7. Type II Standard Integrated-Normal Random Variable.

Expected value of natural power functions (moments about zero)§:

( ) ∫ ( )
√ √ √
(2.14)

Table 14. Expected Value of Powers of the Type II Standard Integrated-Normal Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 1 3 15 105 945 10395
( ) ( ) ( ) ( ) ( ) ( ) ( )
135135 2027025 34459425 654729075 1.37x1010 3.16x1011 7.91x1012
( ) ( ) ( ) ( ) ( ) ( ) ( )
2.13x1014 6.19x1015 1.92x1017 6.33x1018 2.22x1020 8.20x1021 3.20x1023

Table 15. Variance (Diagonal) and Covariance of Powers of the Type II Standard Integrated-Normal
Random Variable
Cov
0 0 0 0 0 0 0
0 2 12 90 840 9450 124740
0 12 96 900 10080 132300 1995840
0 90 900 10170 133560 2012850 34303500
0 840 10080 133560 2016000 34360200 653637600
0 9450 132300 2012850 34360200 653836050 1.37x1010
0 124740 1995840 34303500 653637600 1.37x1010 3.16x1011

§
Analytical integration was performed with Wolfram-Alpha.

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

2.8. Type III Standard Polynomial Random Variable

Probability density function [3]:

( ) ∑

(2.15)
Subject to the following constraints:

(2.16)

(2.17)
Expected value of natural power functions (moments about zero):

( ) ∑ ∫ ∑

(2.18)

Covariance between two natural power functions:

( ) ∑ (∑ ) (∑ )

(2.19)

For example, a symmetric parabolic distribution will be determined by the following probability
density function:

( )
(2.20)

Expected value of natural power functions (moments about zero):

( ) ∫ ( )
( )( )
(2.21)

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 8. Type III Standard Symmetric Parabola Random Variable.

Table 16. Expected Value of Powers of the Type III Standard Symmetric Parabola Random Variable
( ) ( ) ( ) ( ) ( ) ( ) ( )
1 0.5 0.3 0.2 0.142857 0.107143 0.083333
( ) ( ) ( ) ( ) ( ) ( ) ( )
0.066667 0.054545 0.045455 0.038462 0.032967 0.028571 0.025
( ) ( ) ( ) ( ) ( ) ( ) ( )
0.022059 0.019608 0.017544 0.015789 0.014286 0.012987 0.011858

Table 17. Variance (Diagonal) and Covariance of Powers of the Type III Standard Symmetric Parabola
Random Variable
Cov
0 0 0 0 0 0 0
0 0.05 0.05 0.042857 0.035714 0.029762 0.025
0 0.05 0.052857 0.047143 0.040476 0.034524 0.029545
0 0.042857 0.047143 0.043333 0.038095 0.033117 0.028788
0 0.035714 0.040476 0.038095 0.034137 0.030148 0.026557
0 0.029762 0.034524 0.033117 0.030148 0.026982 0.024038
0 0.025 0.029545 0.028788 0.026557 0.024038 0.021627

3. Application Examples

3.1. Lognormal Distribution

The Lognormal distribution is widely found in nature and many different processes. [6] A
Lognormal random variable ( ) is defined as the exponential transformation of a normal
random variable ( ), as follows:

(3.1)

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

where is the mean value of the logarithm of , is the standard deviation of the logarithm
of , and is a Type I standard normal random variable.

The exponential function in Eq. (3.1) can be expanded as a power series sum as follows:

( )
∑ ∑∑
( )
(3.2)

Thus, the expected value of is:

( ) ∑∑ ( )
( )
(3.3)

Since ( ) when is odd (Eq. 2.2), then Eq. (3.3) can be expressed as:

⌊ ⌋ ⌊ ⌋

( ) ∑∑ ( ) ∑∑ ∏| |
( ) ( ) ( ) ( )
(3.4)

where ⌊ ⌋ represents the floor rounding operator. Eq. (3.4) can now be rearranged to yield:

⌊ ⌋

( ) ∑ ∑∑ ∏| |
( ) ( )
⌊ ⌋

∑ ∑∑ ∏| |
( ) ( ) ( )

( )
∑

(3.5)

∏ | |
The previous result is obtained noticing that: ( )
. The product in the numerator
represents the factorial operator of considering only the odd numbers. Therefore, the
fraction represents the reciprocal of the factorial operator of considering only the even

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

numbers. Factorizing 2 for each even number results in . Additionally, it is also important

noticing that ∑ ( )
for any natural value .

Using a similar procedure, it can be shown that:

( )
( ) ( )
(3.6)
Therefore, the variance of the lognormal random variable is (from Eq. 3.5 and 3.6):

( )
( ) ( ) ( )
( )
(3.7)

The probability density function of the lognormal distribution can be obtained using the change
of variable transformation theorem:[7]
( )

( ) ( )| |
√
(3.8)

since | | | ( )| , for .

3.2. Vertical Position of a Clock Hand

For this example, let us consider an analog clock with hands (hour, minute and second hands)
of different length ( ). If the battery of the clock is exhausted and the hands of the clock
suddenly stop, their final angular position will be uniformly distributed (between and ).
Describe the random behavior of the vertical position (with respect to the center of the clock)
of the end of any certain hand. The vertical position will be described by the random variable :

(3.8)

Since the angle is a uniform random variable, it can be expressed in terms of the Type III
standard uniform random variable :

(3.9)

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Thus, Eq. (3.8) becomes:

( )
(3.10)
The sine function expressed as a power series becomes:

( ) ( )( )
∑ ( ) ∑
( ) ( )
(3.11)
The expected value of the vertical position will be (using Eq. 2.6):

( )( ) ( )( )
( ) ∑ ( ) ∑ ( )
( ) ( )

( )( )
∑
( )
(3.12)
Using the substitution , results in:

( ) ( ) ( ) ( ) ( ) ( )
( ) ∑ ∑ (∑ )
( ) ( ) ( )

( ( ))
(3.13)
On the other hand,
( )( )
( ) ( ) ( ) ( ) ((∑ ) )
( )

( ) ( ) ( )
( )
∑∑ ( )
( ) ( )

( ) ( ) ( )
∑∑
( ) ( ) ( ( ) )
(3.14)
A numerical approximated solution of the series is obtained as follows:

( ) ( ) ( ) ( ) ( ) ( )
∑∑ ∑∑
( ) ( ) ( ( ) ) ( ) ( ) ( ( ) )
(3.15)

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Thus, the variance of the vertical position is:

( )
(3.16)
The corresponding standard deviation is:
√

(3.17)

3.3. Radioactive Decay Frequency

The half-life of Uranium-232 ( ) is years. The random decay time ( ) of can be

expressed in terms of the Type I standard exponential distribution ( ) as:

( )
(3.18)
where is the half-life of .

The decay frequency, defined as:

(3.19)
will present a random behavior described by:

( )
(3.20)

Since ( ) , Eq. (3.20) can be expressed as a Maclaurin series expansion as follows:

∑( )

(3.21)
The expected value of the decay frequency is (using Eq. 2.8):

( )
( ) ∑( ) ( ) ∑( ) ∑ ∑ ∑( )

(3.22)

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

This turns out to be a divergent series. Thus, the expected value of the frequency is
undetermined even though ( ) . This apparent mathematical paradox can be
solved when a minimum time for the particular event is considered.[8] If such limit is
nonexistent, a decay time of zero will yield infinite frequency values.

3.4. Volume of micro-particles obtained by different manufacturing processes

As a final example, let us consider the manufacturing of spherical micron-sized particles by

different processes. Each process will result in a different distribution of the radius ( ) of the
particles, but all processes allow obtaining the same mean radius of . The particle volume
( ) obtained is:

(3.23)

The radius of the micro-particle is a random variable described in terms of any arbitrary
standard random variable as:

(3.24)

Therefore, the volume of the particles can be expressed as:

( ) ( )
(3.25)

The expected value of the volume of the micro-particles is:

( ) ( ( ) ( ) ( ))
(3.26)

and its variance is:

( ) ( ) ( ( ) ( ) ( ) ( )

( ) ( ))
(3.27)

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

The particle size distributions obtained from different manufacturing processes are
summarized in Table 18 with their corresponding properties.

Table 18. Properties of particle size (radius) distributions obtained by different production processes
Random Function of ( ) ( )
Distribution
Particle Size ( )
Normal 1 0.01 0.1
Uniform 1 0.01 0.1
Exponential 1 1 1
Maxwell-Boltzmann 1 0.1781 0.4220
Integrated-Normal 1 2 1.4142
Symmetric Parabola 1 0.01 0.1
Lognormal 1 1 0.01 0.1
Lognormal 2 1 0.1781 0.4220

Figure 9 shows a graphical comparison of the corresponding particle size distribution for the
different processes.

Figure 9. Polymer particle size distributions obtained by different processes.

The expected value and variance of the particle volume can be obtained for the different
distributions (except for the log-normal distribution) using Eq. (3.26) and (3.27). For the log-
normal distribution, the particle volume can be expressed as:

(3.28)

with an expected value of:

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( )
(3.29)
and variance:

( ) ( ) ( )
(3.30)

The properties of the random volume calculated for the different distributions are summarized
in Table 19.

Table 19. Properties of particle volume distributions obtained by different production processes
( ) ( )
Distribution
Normal 4.3145 1.6426 1.2816 29.71%
Uniform 4.3144 1.6107 1.2691 29.42%
Exponential 25.1327 12001.4 109.55 435.9%
Maxwell-Boltzmann 6.5797 68.2767 8.2630 125.6%
Integrated-Normal 62.8319 178442 422.42 672.3%
Symmetric Parabola 4.3144 1.6197 1.2727 29.50%
Lognormal 1 4.3157 1.7449 1.3209 30.61%
Lognormal 2 6.8491 158.16 12.576 183.6%

Even though the mean particle radius was the same in all cases, clearly the size distribution had
a significant effect on the mean particle volume. However, if the mean value and the standard
deviation of the particle size are the same, the differences in the mean value and standard
deviation of the particle volume are significantly reduced.

4. Conclusion

Power series expansion is a useful tool for describing any arbitrary nonlinear function. If power
series expansion is used for approximating arbitrary nonlinear functions of random variables, it
is possible to determine the properties of the function as long as the expected values of the
natural powers (raw moments or moments about zero) of the corresponding random variable
are known. In particular, since any random variable can be represented as a function of
standard random variables, the problem is greatly simplified, since only the properties of a few
standard random variables are required. The use of properties of natural powers of standard
random variables is exemplified using some illustrative examples: The lognormal distribution,
sine functions of uniform random variables, the reciprocal of exponential distributions (the
frequency paradox [8]), and a comparison of the effect of different particle size distribution on
the properties of the volume of spherical particles.

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 Expected Value, Variance and Covariance of Natural Powers
of Representative Standard Random Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Acknowledgments

This research did not receive any specific grant from funding agencies in the public,
commercial, or not-for-profit sectors.

References

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[4] Hernandez, H. (2017). Standard Maxwell-Boltzmann distribution: Definition and properties.

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[5] Hernandez, H. (2017). Standard Maxwell-Boltzmann Distribution: Additional Nonlinear and

Multivariate Properties. ForsChem Research Reports 2017-14. doi: 10.13140/RG.2.2.35761.07520.

[6] Crow, E. L., & Shimizu, K. (1988). Lognormal distributions: Theory and applications. New
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[7] Hernandez, H. (2017). Multivariate Probability Theory: Determination of Probability Density

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