Moment-generating function
In probability theory and statistics, the moment-generating function of a random variable X is
- <math>M_X(t)=E\left(e^{tX}\right).<math>
The moment-generating function generates the moments of the probability distribution, as follows:
- <math>E\left(X^n\right)=M_X^{(n)}(0)=\left.\frac{\mathrm{d}^n}{\mathrm{d}t^n}\right|_{t=0} M_X(t).<math>
If X has a continous probability density function f(x) then the moment generating function is given by
- <math>M_X(t) = \int_{-\infty}^\infty e^{tx} f(x)\,\mathrm{d}x<math>
- <math> = \int_{-\infty}^\infty \left( 1+ tx + \frac{t^2x^2}{2!} + \cdots\right) f(x)\,\mathrm{d}x<math>
- <math> = 1 + tm_1 + \frac{t^2m_2}{2!} +\cdots,<math>
where <math>m_i<math> is the ith moment.
Regardless of whether probability distribution is continuous or not, the moment-generating function is given by the Riemann-Stieltjes integral
- <math>\int_{-\infty}^\infty e^{tx}\,dF(x)<math>
where F is the cumulative distribution function.
Related concepts include the characteristic function, the probability-generating function, and the cumulant-generating function. The cumulant-generating function is the logarithm of the moment-generating function.
