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:

    “Quidquid luce fuit tenebris agit: but also the other way around. What we experience in dreams, so long as we experience it frequently, is in the end just as much a part of the total economy of our soul as anything we “really” experience: because of it we are richer or poorer, are sensitive to one need more or less, and are eventually guided a little by our dream-habits in broad daylight and even in the most cheerful moments occupying our waking spirit.”
    —Friedrich Nietzsche (1844–1900)

    “Reminiscences, even extensive ones, do not always amount to an autobiography.... For autobiography has to do with time, with sequence and what makes up the continuous flow of life. Here, I am talking of a space, of moments and discontinuities. For even if months and years appear here, it is in the form they have in the moment of recollection. This strange form—it may be called fleeting or eternal—is in neither case the stuff that life is made of.”
    —Walter Benjamin (1892–1940)

    “Suffering is by no means a privilege, a sign of nobility, a reminder of God. Suffering is a fierce, bestial thing, commonplace, uncalled for, natural as air. It is intangible; no one can grasp it or fight against it; it dwells in time—is the same thing as time; if it comes in fits and starts, that is only so as to leave the sufferer more defenseless during the moments that follow, those long moments when one relives the last bout of torture and waits for the next.”
    —Cesare Pavese (1908–1950)