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Encyclopedia > Moment generating function

In probability theory and statistics, the moment-generating function of a random variable X is

The moment-generating function generates the moments of the probability distribution, as follows:

If X has a continuous probability density function f(x) then the moment generating function is given by

where mi is the ith moment.

Regardless of whether probability distribution is continuous or not, the moment-generating function is given by the Riemann-Stieltjes integral

where F is the cumulative distribution function.

If X1, X2, ..., Xn 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 of the probability density functions of each of the X i and the moment-generating function for S n is given by

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.



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