Moment (mathematics)

Template:Short description Template:About In mathematics, the moments of a function are certain quantitative measures related to the shape of the function's graph. If the function represents mass density, then the zeroth moment is the total mass, the first moment (normalized by total mass) is the center of mass, and the second moment is the moment of inertia. If the function is a probability distribution, then the first moment is the expected value, the second central moment is the variance, the third standardized moment is the skewness, and the fourth standardized moment is the kurtosis.

For a distribution of mass or probability on a bounded interval, the collection of all the moments (of all orders, from Template:Math to Template:Math) uniquely determines the distribution (Hausdorff moment problem). The same is not true on unbounded intervals (Hamburger moment problem).

In the mid-nineteenth century, Pafnuty Chebyshev became the first person to think systematically in terms of the moments of random variables.<ref>Template:Cite journal</ref>

Significance of the moments

The Template:Mvar-th raw moment (i.e., moment about zero) of a random variable <math>X</math> with density function <math>f(x)</math> is defined by<ref>Template:Cite book</ref><math display="block">\mu'_n = \langle X^{n} \rangle ~\overset{\mathrm{def}}{=}~ \begin{cases}

\sum_i x^n_i f(x_i), & \text{discrete distribution} \\[1.2ex]
\int x^n f(x) \, dx, & \text{continuous distribution}

\end{cases}</math>The Template:Mvar-th moment of a real-valued continuous random variable with density function <math>f(x)</math> about a value <math>c</math> is the integral<math display="block">\mu_n = \int_{-\infty}^\infty (x - c)^n\,f(x)\,\mathrm{d}x.</math>

It is possible to define moments for random variables in a more general fashion than moments for real-valued functions — see moments in metric spaces. The moment of a function, without further explanation, usually refers to the above expression with <math>c=0</math>. For the second and higher moments, the central moment (moments about the mean, with c being the mean) are usually used rather than the moments about zero, because they provide clearer information about the distribution's shape.

Other moments may also be defined. For example, the Template:Mvarth inverse moment about zero is <math>\operatorname{E}\left[X^{-n}\right]</math> and the Template:Mvar-th logarithmic moment about zero is <math>\operatorname{E}\left[\ln^n(X)\right].</math>

The Template:Mvar-th moment about zero of a probability density function <math>f(x)</math> is the expected value of <math>X^n</math> and is called a raw moment or crude moment.<ref>{{#invoke:citation/CS1|citation |CitationClass=web }} Raw Moments at Math-world</ref> The moments about its mean <math>\mu</math> are called central moments; these describe the shape of the function, independently of translation.

If <math>f</math> is a probability density function, then the value of the integral above is called the Template:Mvar-th moment of the probability distribution. More generally, if F is a cumulative probability distribution function of any probability distribution, which may not have a density function, then the Template:Mvar-th moment of the probability distribution is given by the Riemann–Stieltjes integral<math display="block">\mu'_n = \operatorname{E} \left[X^n\right] = \int_{-\infty}^\infty x^n\,\mathrm{d}F(x)</math>where X is a random variable that has this cumulative distribution F, and Template:Math is the expectation operator or mean. When<math display="block">\operatorname{E}\left[ \left|X^n \right| \right] = \int_{-\infty}^\infty \left|x^n\right|\,\mathrm{d}F(x) = \infty</math>the moment is said not to exist. If the Template:Mvar-th moment about any point exists, so does the Template:Math-th moment (and thus, all lower-order moments) about every point. The zeroth moment of any probability density function is 1, since the area under any probability density function must be equal to one.

Significance of moments (raw, central, standardised) and cumulants (raw, normalised), in connection with named properties of distributions

Moment ordinal	Moment			Cumulant
	Raw	Central	Standardized	Raw	Normalized
1	Mean	0	0	Mean	Template:N/a
2	–	Variance	1	Variance	1
3	–	–	Skewness	–	Skewness
4	–	–	(Non-excess or historical) kurtosis	–	Excess kurtosis
5	–	–	Hyperskewness	–	–
6	–	–	Hypertailedness	–	–
7+	–	–	–	–	–

Standardized moments

{{#invoke:Labelled list hatnote|labelledList|Main article|Main articles|Main page|Main pages}} The normalised Template:Mvar-th central moment or standardised moment is the Template:Mvar-th central moment divided by Template:Mvar; the normalised Template:Mvar-th central moment of the random variable Template:Mvar is <math display="block">\frac{\mu_n}{\sigma^n} = \frac{\operatorname{E}\left[(X - \mu)^n\right]}{\sigma^n} = \frac{\operatorname{E}\left[(X - \mu)^n\right]}{\operatorname{E}\left[(X - \mu)^2\right]^\frac{n}{2}} .</math>

These normalised central moments are dimensionless quantities, which represent the distribution independently of any linear change of scale.

Notable moments

Mean

{{#invoke:Labelled list hatnote|labelledList|Main article|Main articles|Main page|Main pages}} The first raw moment is the mean, usually denoted <math>\mu \equiv \operatorname{E}[X].</math>

Variance

{{#invoke:Labelled list hatnote|labelledList|Main article|Main articles|Main page|Main pages}} The second central moment is the variance. The positive square root of the variance is the standard deviation <math>\sigma \equiv \left(\operatorname{E}\left[(x - \mu)^2\right]\right)^\frac{1}{2}.</math>

Skewness

{{#invoke:Labelled list hatnote|labelledList|Main article|Main articles|Main page|Main pages}} The third central moment is the measure of the lopsidedness of the distribution; any symmetric distribution will have a third central moment, if defined, of zero. The normalised third central moment is called the skewness, often Template:Mvar. A distribution that is skewed to the left (the tail of the distribution is longer on the left) will have a negative skewness. A distribution that is skewed to the right (the tail of the distribution is longer on the right), will have a positive skewness.

For distributions that are not too different from the normal distribution, the median will be somewhere near Template:Math; the mode about Template:Math.

Kurtosis

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The fourth central moment is a measure of the heaviness of the tail of the distribution. Since it is the expectation of a fourth power, the fourth central moment, where defined, is always nonnegative; and except for a point distribution, it is always strictly positive. The fourth central moment of a normal distribution is Template:Math.

The kurtosis Template:Mvar is defined to be the standardized fourth central moment. (Equivalently, as in the next section, excess kurtosis is the fourth cumulant divided by the square of the second cumulant.)<ref name="CasellaBerger">Template:Cite book</ref><ref name="BalandaMacGillivray88">Template:Cite journal</ref> If a distribution has heavy tails, the kurtosis will be high (sometimes called leptokurtic); conversely, light-tailed distributions (for example, bounded distributions such as the uniform) have low kurtosis (sometimes called platykurtic).

The kurtosis can be positive without limit, but Template:Mvar must be greater than or equal to Template:Math; equality only holds for binary distributions. For unbounded skew distributions not too far from normal, Template:Mvar tends to be somewhere in the area of Template:Math and Template:Math.

The inequality can be proven by considering<math display="block">\operatorname{E}\left[\left(T^2 - aT - 1\right)^2\right]</math>where Template:Math. This is the expectation of a square, so it is non-negative for all a; however it is also a quadratic polynomial in a. Its discriminant must be non-positive, which gives the required relationship.

Higher moments

High-order moments are moments beyond 4th-order moments.

As with variance, skewness, and kurtosis, these are higher-order statistics, involving non-linear combinations of the data, and can be used for description or estimation of further shape parameters. The higher the moment, the harder it is to estimate, in the sense that larger samples are required in order to obtain estimates of similar quality. This is due to the excess degrees of freedom consumed by the higher orders. Further, they can be subtle to interpret, often being most easily understood in terms of lower order moments – compare the higher-order derivatives of jerk and jounce in physics. For example, just as the 4th-order moment (kurtosis) can be interpreted as "relative importance of tails as compared to shoulders in contribution to dispersion" (for a given amount of dispersion, higher kurtosis corresponds to thicker tails, while lower kurtosis corresponds to broader shoulders), the 5th-order moment can be interpreted as measuring "relative importance of tails as compared to center (mode and shoulders) in contribution to skewness" (for a given amount of skewness, higher 5th moment corresponds to higher skewness in the tail portions and little skewness of mode, while lower 5th moment corresponds to more skewness in shoulders).

Mixed moments

Mixed moments are moments involving multiple variables.

The value <math>E[X^k]</math> is called the moment of order <math>k</math> (moments are also defined for non-integral <math>k</math>). The moments of the joint distribution of random variables <math>X_1 ... X_n</math> are defined similarly. For any integers <math>k_i\geq0</math>, the mathematical expectation <math>E[{X_1}^{k_1}\cdots{X_n}^{k_n}]</math> is called a mixed moment of order <math>k</math> (where <math>k=k_1+...+k_n</math>), and <math>E[(X_1-E[X_1])^{k_1}\cdots(X_n-E[X_n])^{k_n}]</math> is called a central mixed moment of order <math>k</math>. The mixed moment <math>E[(X_1-E[X_1])(X_2-E[X_2])]</math> is called the covariance and is one of the basic characteristics of dependency between random variables.

Some examples are covariance, coskewness and cokurtosis. While there is a unique covariance, there are multiple co-skewnesses and co-kurtoses.

Properties of moments

Transformation of center

Since <math display="block">(x - b)^n = (x - a + a - b)^n = \sum_{i=0}^n {n \choose i}(x - a)^i(a - b)^{n-i}</math> where <math display="inline">\binom{n}{i}</math> is the binomial coefficient, it follows that the moments about b can be calculated from the moments about a by: <math display="block">E\left[(x - b)^n\right] = \sum_{i=0}^n {n \choose i} E\left[(x - a)^i\right](a - b)^{n-i}.</math>

The moment of a convolution of function

{{#invoke:Labelled list hatnote|labelledList|Main article|Main articles|Main page|Main pages}} The raw moment of a convolution <math display="inline">h(t) = (f * g)(t) = \int_{-\infty}^\infty f(\tau) g(t - \tau) \, d\tau</math> reads <math display="block">\mu_n[h] = \sum_{i=0}^{n} {n\choose i} \mu_i[f] \mu_{n-i}[g]</math> where <math>\mu_n[\,\cdot\,]</math> denotes the <math>n</math>-th moment of the function given in the brackets. This identity follows by the convolution theorem for moment generating function and applying the chain rule for differentiating a product.

Cumulants

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The first raw moment and the second and third unnormalized central moments are additive in the sense that if X and Y are independent random variables then <math display="block">\begin{align}

                m_1(X + Y) &= m_1(X) + m_1(Y) \\
 \operatorname{Var}(X + Y) &= \operatorname{Var}(X) + \operatorname{Var}(Y) \\
              \mu_3(X + Y) &= \mu_3(X) + \mu_3(Y)

\end{align}</math>

(These can also hold for variables that satisfy weaker conditions than independence. The first always holds; if the second holds, the variables are called uncorrelated).

In fact, these are the first three cumulants and all cumulants share this additivity property.

Sample moments

For all k, the Template:Mvar-th raw moment of a population can be estimated using the Template:Mvar-th raw sample moment <math display="block">\frac{1}{n}\sum_{i = 1}^{n} X^k_i</math> applied to a sample Template:Math drawn from the population.

It can be shown that the expected value of the raw sample moment is equal to the Template:Mvar-th raw moment of the population, if that moment exists, for any sample size Template:Mvar. It is thus an unbiased estimator. This contrasts with the situation for central moments, whose computation uses up a degree of freedom by using the sample mean. So for example an unbiased estimate of the population variance (the second central moment) is given by <math display="block">\frac{1}{n - 1}\sum_{i = 1}^n \left(X_i - \bar{X}\right)^2</math> in which the previous denominator Template:Mvar has been replaced by the degrees of freedom Template:Math, and in which <math>\bar X</math> refers to the sample mean. This estimate of the population moment is greater than the unadjusted observed sample moment by a factor of <math>\tfrac{n}{n-1},</math> and it is referred to as the "adjusted sample variance" or sometimes simply the "sample variance".

Problem of moments

{{#invoke:Labelled list hatnote|labelledList|Main article|Main articles|Main page|Main pages}} Problems of determining a probability distribution from its sequence of moments are called problem of moments. Such problems were first discussed by P.L. Chebyshev (1874)<ref>Feller, W. (1957-1971). An introduction to probability theory and its applications. New York: John Wiley & Sons. 419 p.</ref> in connection with research on limit theorems. In order that the probability distribution of a random variable <math>X</math> be uniquely defined by its moments <math>\alpha_k = E\left[X^k\right]</math> it is sufficient, for example, that Carleman's condition be satisfied: <math display="block">\sum_{k=1}^\infin\frac{1}{\alpha_{2k}^{1/2k}} = \infin</math> A similar result even holds for moments of random vectors. The problem of moments seeks characterizations of sequences <math>{{\mu_n}': n = 1,2,3,\dots}</math>that are sequences of moments of some function f, all moments <math>\alpha_k(n)</math> of which are finite, and for each integer <math>k\geq1</math> let <math display="block">\alpha_k(n)\rightarrow \alpha_k ,n\rightarrow \infin,</math> where <math>\alpha_k</math> is finite. Then there is a sequence <math>{\mu_n}'</math> that weakly converges to a distribution function <math>\mu</math> having <math>\alpha_k</math> as its moments. If the moments determine <math>\mu</math> uniquely, then the sequence <math>{\mu_n}'</math> weakly converges to <math>\mu</math>.

Partial moments

Partial moments are sometimes referred to as "one-sided moments." The Template:Mvar-th order lower and upper partial moments with respect to a reference point r may be expressed as

<math display="block">\mu_n^- (r) = \int_{-\infty}^r (r - x)^n\,f(x)\,\mathrm{d}x,</math> <math display="block">\mu_n^+ (r) = \int_r^\infty (x - r)^n\,f(x)\,\mathrm{d}x.</math>

If the integral function does not converge, the partial moment does not exist.

Partial moments are normalized by being raised to the power 1/n. The upside potential ratio may be expressed as a ratio of a first-order upper partial moment to a normalized second-order lower partial moment.

Central moments in metric spaces

Let Template:Math be a metric space, and let B(M) be the [[Borel sigma algebra|Borel Template:Mvar-algebra]] on M, the [[sigma algebra|Template:Mvar-algebra]] generated by the d-open subsets of M. (For technical reasons, it is also convenient to assume that M is a separable space with respect to the metric d.) Let Template:Math.

The Template:Mvar-th central moment of a measure Template:Mvar on the measurable space (M, B(M)) about a given point Template:Math is defined to be <math display="block">\int_{M} d\left(x, x_0\right)^p \, \mathrm{d} \mu (x).</math>

μ is said to have finite Template:Mvar-th central moment if the Template:Mvar-th central moment of Template:Mvar about x₀ is finite for some Template:Math.

This terminology for measures carries over to random variables in the usual way: if Template:Math is a probability space and Template:Math is a random variable, then the Template:Mvar-th central moment of X about Template:Math is defined to be <math display="block">

 \int_M d \left(x, x_0\right)^p \, \mathrm{d} \left( X_* \left(\mathbf{P}\right) \right) (x) =
 \int_\Omega d \left(X(\omega), x_0\right)^p \, \mathrm{d} \mathbf{P} (\omega) =
 \operatorname{\mathbf{E}}[d(X, x_0)^p],</math>

and X has finite Template:Mvar-th central moment if the Template:Mvar-th central moment of X about x₀ is finite for some Template:Math.

See also

• Energy (signal processing)
• Factorial moment
• Generalised mean
• Image moment
• L-moment
• Method of moments (probability theory)
• Method of moments (statistics)
• Moment-generating function
• Moment measure
• Second moment method
• Standardised moment
• Stieltjes moment problem
• Taylor expansions for the moments of functions of random variables

References

• File:CC BY-SA icon.svg Text was copied from Moment at the Encyclopedia of Mathematics, which is released under a Creative Commons Attribution-Share Alike 3.0 (Unported) (CC-BY-SA 3.0) license and the GNU Free Documentation License.

Further reading

• Template:Cite book
• Template:Cite book

External links

• Template:Springer
• Moments at Mathworld