Tukey Lambda Distribution - Moments

Moments

The Tukey lambda distribution is symmetric around zero, therefore the expected value of this distribution is equal to zero. The variance exists for λ > −½ and is given by the formula (except when λ = 0)

\operatorname{Var} = \frac{2}{\lambda^2}\bigg(\frac{1}{1+2\lambda} - \frac{\Gamma(\lambda+1)^2}{\Gamma(2\lambda+2)}\bigg).

More generally, the n-th order moment is finite when λ > −1/n and is expressed in terms of the beta function Β(x,y) (except when λ = 0) :

\mu_n = \operatorname{E} = \frac{1}{\lambda^n} \sum_{k=0}^n (-1)^k {n \choose k}\, \Beta(\lambda k+1,\, \lambda(n-k)+1 ).

Note that due to symmetry of the density function, all moments of odd orders are equal to zero.

Read more about this topic:  Tukey Lambda Distribution

Famous quotes containing the word moments:

    “The woman and the genius do not work. Up to now, woman has been mankind’s supreme luxury. In all those moments when we do our best, we do not work. Work is merely a means to these moments.”
    —Friedrich Nietzsche (1844–1900)

    “Even the most subjected person has moments of rage and resentment so intense that they respond, they act against. There is an inner uprising that leads to rebellion, however short- lived. It may be only momentary but it takes place. That space within oneself where resistance is possible remains.”
    —bell hooks (b. c. 1955)

    “There are moments when all anxiety and stated toil are becalmed in the infinite leisure and repose of nature.”
    —Henry David Thoreau (1817–1862)