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单词 moment generating function
释义
moment generating function

Mathematics
  • M(t) = E(etX) is the moment generating function (mgf) for a random variable X. When M(t) exists then, since

    etX=r=0trXrr!

    and E is an additive function, it follows that the coefficient of tr is r!E(Xr), allowing the moments of X to be recovered from knowledge of the mgf.


Economics
  • The moment generating function of a random variable X is defined as MX(t)=E[etX],tR, when this expectation exists. When it exists in an open interval around t=0, the mgf can be used to calculate the moments of distribution of X as mn=E[Xn]=dnMX(t)dtn|t=0.


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