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Moment of a distribution

 
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Feb21-13, 09:49 PM   #1
 

Moment of a distribution


I have the following equation, and I'm trying to understand it. The kth moment of a distribution can be approximated as follows:

[tex] \frac{1}{N}\sum_{i=1}^N{x_i^k} \approx \int{x^kP(x)dx} + O(1/\sqrt{N}) [/tex]

Where [itex] P(x) [/itex] is the probability distribution.

I understand where the integral comes in, but I don't understand how to quantify the error in the approximation as [itex] O(1/\sqrt{N}) [/itex].

Can someone help explain how to derive this? Thanks.
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