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Moment-generating function - Wikipedia, the free encyclopedia

Moment-generating function
From Wikipedia, the free encyclopedia

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 momentgenerating functions.
In addition to univariate distributions, moment-generating functions can be defined for vector- or matrixvalued 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.

Contents
1 Definition
2 Examples
3 Calculation
3.1 Sum of independent random variables
3.2 Vector-valued random variables
4 Important properties
4.1 Calculations of moments
5 Other properties
6 Relation to other functions
7 See also
8 References

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 to 1.
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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
instead of tX:

T,

an n-dimensional random vector, one uses

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.

Differentiating MX(t) i times with respect to t and setting t = 0 we hence obtain the ith moment about the
origin, mi, see Calculations of moments below.

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.

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Distribution

Moment-generating function MX(t) Characteristic function (t)

Bernoulli
,

Geometric
for
Binomial B(n, p)
Poisson Pois()
Uniform (continuous) U(a, b)
Uniform (discrete) U(a, b)
Normal N(, 2)
Chi-squared k2
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).

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where mn is the nth moment.

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.[2] That is, if for all values of t,

then

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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.

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

http://en.wikipedia.org/wiki/Moment-generating_function

This immediately implies that

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See also
Factorial moment generating function
Rate function
Hamburger moment problem

References
1. ^ Bulmer, M.G., Principles of Statistics, Dover, 1979, pp. 7579
2. ^ Grimmett, Geoffrey. Probability - An Introduction. Oxford University Press. ISBN 978-0-19-8532644.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.
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Categories: Theory of probability distributions Generating functions
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