Integrating normal from 0 to Inf and finding the third moment

Click For Summary

Discussion Overview

The discussion revolves around the integration of the third moment of a normal distribution from 0 to infinity. Participants explore the challenges associated with this integral and the implications of the error function in relation to the concept of closed forms for antiderivatives.

Discussion Character

  • Exploratory
  • Technical explanation
  • Debate/contested
  • Mathematical reasoning

Main Points Raised

  • One participant presents the integral of the third moment of a normal distribution and expresses difficulty in solving it.
  • Another suggests using integration by parts to reduce the problem to lower powers of x, noting that the normal distribution is typically integrated from -∞ to ∞.
  • There is a discussion about the implications of integrating from 0 to ∞ and whether this changes the nature of the result.
  • A participant proposes a substitution method involving x^2 to simplify the integral.
  • One participant claims that there is no analytic answer to the integral, as it leads to an error function.
  • Another counters that the error function is analytic and discusses the meaning of "analytic" in this context.
  • Further clarification is provided regarding the definition of a "nice closed form" for antiderivatives, with references to the use of numerical methods and tables for the normal density.
  • Participants express uncertainty about the existence of a "nice-enough" antiderivative for the integral in question.

Areas of Agreement / Disagreement

Participants do not reach a consensus on the existence of a closed-form solution for the integral, with multiple competing views on the nature of the error function and the definition of analytic functions.

Contextual Notes

There are unresolved assumptions regarding the definitions of closed forms and the applicability of numerical methods versus analytical solutions in the context of the normal distribution.

Hejdun
Messages
25
Reaction score
0
This is (perhaps) a tricky question regarding the moment of normal distribution.
Let f(x) be the pdf of normal distribution with mean (-σ^2/b) and variance σ^2, where b is just a constant. The goal is to solve the integral

∫ x^3 f(x) dx

integrating from 0 to ∞.

I am stuck. Any suggestions?
 
Physics news on Phys.org
Use integration by parts to express the problem as one in lower powers of X. The expressions involving the lower powers will have something to do with lower order moments.

If it is a normal distribution, aren't you integrating from -\infty to \infty?
 
Stephen Tashi said:
Use integration by parts to express the problem as one in lower powers of X. The expressions involving the lower powers will have something to do with lower order moments.

If it is a normal distribution, aren't you integrating from -\infty to \infty?


I will try integration by parts, but I am not sure if that would solve it.

No, unfortunately it is from 0 to ∞. Otherwise it would have been a standard result.
 
Since the exponent will contain multiples of x^2 and x, h'about trying a substitution like:

x^2=u , then x^3=u^(3/2) , etc.
 
It seems that there is no analyc answer to this integral since integration will result in an error function. But thanks anyway!
 
But the Error function is analytic! It is an entire function.
 
Herick said:
But the Error function is analytic! It is an entire function.

I think by analytic Hedjun means that the function has an antiderivative in a

"nice closed form" , not in the complex-analytic sense.

Notice that in this case f is assumed real-valued.
 
Last edited:
Well, is it e^x a closed form? If by closed form he means a convergent infinite series, then Err(x) is also 'closed form'. Right?
 
Herick said:
Well, is it e^x a closed form? If by closed form he means a convergent infinite series, then Err(x) is also 'closed form'. Right?

I assume s/he , means a 'nice' antiderivative ( a combination of sums, products of

known/common functions ) F that would allow you to calculate the area between any two

x,y , without having to use numerical methods , or tables. AFAIK there isn't any one.

Do you know of one? I assumed, since tables are used for the normal density, that

there isn't any "nice-enough" antiderivative. But maybe the OP can tell us what s/he

was looking for.
 
  • #10
Bacle2 said:
I assume s/he , means a 'nice' antiderivative ( a combination of sums, products of

known/common functions ) F that would allow you to calculate the area between any two

x,y , without having to use numerical methods , or tables. AFAIK there isn't any one.

Do you know of one? I assumed, since tables are used for the normal density, that

there isn't any "nice-enough" antiderivative. But maybe the OP can tell us what s/he

was looking for.

Yes, it is this that I was looking for, which I believe does not exist for the integral that started this thread. Thanks for your replies.
 

Similar threads

  • · Replies 3 ·
Replies
3
Views
2K
  • · Replies 4 ·
Replies
4
Views
2K
  • · Replies 2 ·
Replies
2
Views
2K
  • · Replies 1 ·
Replies
1
Views
3K
  • · Replies 25 ·
Replies
25
Views
3K
Replies
1
Views
4K
  • · Replies 1 ·
Replies
1
Views
2K
  • · Replies 13 ·
Replies
13
Views
3K
  • · Replies 2 ·
Replies
2
Views
2K
  • · Replies 6 ·
Replies
6
Views
2K