Is the Cumulant Generating Function correctly defined?

Click For Summary
The discussion centers on the definition and properties of the Cumulant Generating Function (CGF), K(t), expressed as a series involving derivatives of the moment generating function, M(t). It establishes that K(t) is the natural logarithm of M(t) and derives relationships between K(t) and expected values of random variables. The participants confirm that K'(0) equals the first cumulant, while K''(0) represents the variance, linking these to the moments of the distribution. A correction is noted regarding the definition of K(t), emphasizing that K_n should be evaluated at zero. The accuracy of the CGF's formulation and its implications in statistical analysis are affirmed.
donutmax
Messages
7
Reaction score
0
Cumulative generating function is
K(t)=K_1(t)t+K_2(t)\frac{t^2}{2!}+K_3(t)\frac{t^3}{3!}+...
where
K_{n}(t)=K^{(n)}(t)

Now
K(t)=ln M(t)=ln E(e^{ty})=ln E(f(0)+f'(0)\frac {t}{1!}+f''(0)\frac{t^2}{2!}+...)=ln E(1+\frac{t}{1!}y+\frac{t^2}{2!} y^2+...)=ln [1+\frac{t}{1!} E(Y)+\frac{t^2}{2!} E(Y^2)+...]=ln [1+\frac{t}{1!}\mu'_1+\frac{t^2}{2!}\mu'_2+...]
where \mu'_n=E(Y^n)
=>K(0)=ln1=0

Also
K'(t)=\frac{1}{M(t)}M'(t)
where
M(0)=1; M'(t)=\mu'_1+\frac{t}{1}\mu'_2+\frac{t^2}{2!}\mu'_3+...
=>M'(0)=\mu'_1

In fact
M^{(n)}(0)=\mu'_n

So
K'(0)=\frac{\mu'_1}{1}=\mu'_1

Furthermore
K''(t)=\frac{M''(t)M(t)-[M'(t)]^2}{[M(t)]^2}
=>K''(0)=\frac{\mu'_2*1-(\mu'_1)^2}{1^2}=\mu'_2-(\mu'_1)^2=E(Y^2)-[E(Y)]^2=\sigma^2

Is this correct?
 
Last edited:
Mathematics news on Phys.org
Correction:
K(t) is:
K(t)=K_1t+K_2\frac{t^2}{2!}+...
where
K_n=K^{(n)}(0)
 
Here is a little puzzle from the book 100 Geometric Games by Pierre Berloquin. The side of a small square is one meter long and the side of a larger square one and a half meters long. One vertex of the large square is at the center of the small square. The side of the large square cuts two sides of the small square into one- third parts and two-thirds parts. What is the area where the squares overlap?

Similar threads

  • · Replies 3 ·
Replies
3
Views
1K
  • · Replies 7 ·
Replies
7
Views
2K
  • · Replies 2 ·
Replies
2
Views
1K
  • · Replies 15 ·
Replies
15
Views
2K
  • · Replies 2 ·
Replies
2
Views
2K
  • · Replies 1 ·
Replies
1
Views
2K
  • · Replies 2 ·
Replies
2
Views
3K
  • · Replies 3 ·
Replies
3
Views
2K
  • · Replies 2 ·
Replies
2
Views
2K
  • · Replies 3 ·
Replies
3
Views
3K