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Central Moment
Central Moment
In probability theory and statistics, a central moment is a moment of a probability distribution of a random
variable about the random variable's mean; that is, it is the expected value of a specified integer power of
the deviation of the random variable from the mean. The various moments form one set of values by which
the properties of a probability distribution can be usefully characterized. Central moments are used in
preference to ordinary moments, computed in terms of deviations from the mean instead of from zero,
because the higher-order central moments relate only to the spread and shape of the distribution, rather than
also to its location.
Sets of central moments can be defined for both univariate and multivariate distributions.
Univariate moments
The nth moment about the mean (or nth central moment) of a real-valued random variable X is the
quantity μn := E[(X − E[X])n ], where E is the expectation operator. For a continuous univariate probability
distribution with probability density function f(x), the nth moment about the mean μ is
[1]
For random variables that have no mean, such as the Cauchy distribution, central moments are not defined.
Properties
The nth central moment is translation-invariant, i.e. for any random variable X and any constant c, we have
Only for n such that n equals 1, 2, or 3 do we have an additivity property for random variables X and Y that
are independent:
provided n ∈ {1, 2, 3 }.
A related functional that shares the translation-invariance and homogeneity properties with the nth central
moment, but continues to have this additivity property even when n ≥ 4 is the nth cumulant κn (X). For
n = 1, the nth cumulant is just the expected value; for n = either 2 or 3, the nth cumulant is just the nth
central moment; for n ≥ 4, the nth cumulant is an nth-degree monic polynomial in the first n moments
(about zero), and is also a (simpler) nth-degree polynomial in the first n central moments.
Sometimes it is convenient to convert moments about the origin to moments about the mean. The general
equation for converting the nth-order moment about the origin to the moment about the mean is
where μ is the mean of the distribution, and the moment about the origin is given by
For the cases n = 2, 3, 4 — which are of most interest because of the relations to variance, skewness, and
kurtosis, respectively — this formula becomes (noting that and ):
because
where the are mutually independent random variables sharing the same common distribution and a
random integer variable independent of the with its own distribution. The moments of are obtained
as
where is defined as zero for .
Symmetric distributions
In distributions that are symmetric about their means (unaffected by being reflected about the mean), all odd
central moments equal zero whenever they exist, because in the formula for the nth moment, each term
involving a value of X less than the mean by a certain amount exactly cancels out the term involving a
value of X greater than the mean by the same amount.
Multivariate moments
For a continuous bivariate probability distribution with probability density function f(x,y) the (j,k) moment
about the mean μ = (μX, μY) is
The 2nd-order central moment β2 is called the variance of X whereas the 2nd-order central moment α2 is
the pseudo-variance of X.
See also
Standardized moment
Image moment
Normal distribution § Moments
Complex random variable
References
1. Grimmett, Geoffrey; Stirzaker, David (2009). Probability and Random Processes. Oxford,
England: Oxford University Press. ISBN 978-0-19-857222-0.
2. "Central Moment" (http://mathworld.wolfram.com/CentralMoment.html).
3. Eriksson, Jan; Ollila, Esa; Koivunen, Visa (2009). "Statistics for complex random variables
revisited". 2009 IEEE International Conference on Acoustics, Speech and Signal
Processing. pp. 3565–3568. doi:10.1109/ICASSP.2009.4960396 (https://doi.org/10.1109%2
FICASSP.2009.4960396). ISBN 978-1-4244-2353-8. S2CID 17433817 (https://api.semantic
scholar.org/CorpusID:17433817).