Unit3: Part2: Moments & MGF

Moments

❑ Moments in mathematical statistics involve a basic calculation.

❑ These calculations can be used to find a probability distribution's mean,
variance, and skewness.

Suppose that we have a set of data with a total of n discrete points.

One important calculation, which is actually several numbers, is called the 𝑠𝑡ℎ
moment.

The 𝑠𝑡ℎ moment about zero of the data set with values 𝑥1, 𝑥2, 𝑥3, . . . , 𝑥𝑛 is given by
the formula:

(𝑥1𝑠 + 𝑥2𝑠 + 𝑥3𝑠 + . . . + 𝑥𝑛𝑠)

𝑛
First Moment (about zero):

For the first moment, we set 𝑠 = 1. The formula for the first moment is thus:

(𝑥11 + 𝑥21 + 𝑥31 + ⋯ + 𝑥𝑛1 )

𝑛

This is identical to the formula for the sample mean

The first moment of the values 1, 3, 6, 10 is (1 + 3 + 6 + 10) / 4 = 20/4 = 5.

Second Moment (about zero):

For the second moment, we set 𝑠 = 2. The formula for the second moment is thus:

(𝑥12 + 𝑥22 + 𝑥32 + ⋯ + 𝑥𝑛2 )

𝑛
(12 +32 +62 +102 )
The second moment of the values 1, 3, 6, 10 is = 20/4 = 5
4
Moments about the mean
A related idea is that of the 𝑠𝑡ℎ moment about the mean. In this calculation we use the
following formula:

𝑠 𝑠 𝑠 𝑠
𝑥1 − 𝑥ҧ + 𝑥2 − 𝑥ҧ + 𝑥3 − 𝑥ҧ + ⋯ . + 𝑥𝑛 − 𝑥ҧ
𝜇𝑠 =
𝑛

First Moment About the Mean:

The first moment about the mean is always equal to zero, no matter what the data
set is that we are working with.

Second Moment About the Mean (Variance)

The second moment about the mean is obtained from the above formula by settings = 2
As its name hints, MGF is literally the function that generates the 
moments
Why is the MGF useful?

There are basically two reasons for this.

1. First, the MGF of X gives us all moments of X.

That is why it is called the moment generating function.

2. Second, the MGF (if it exists) uniquely determines the distribution.

That is, if two random variables have the same MGF, then they must have the same
distribution. Thus, if you find the MGF of a random variable, you have indeed determined its
distribution.
Before starting MGFs, we should freshen up our memory on Taylor Series, as these will
prove especially handy when dealing with MGFs
Properties of MGF
1. Uniqueness property of MGF

 The most significant property of moment generating function is that

``the moment generating function uniquely determines the distribution.‘’

2. MGF of linear combinations
3. MGF of sum of independent random variables