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Moment of a distribution |
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| Feb21-13, 09:49 PM | #1 |
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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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