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 average Kentuckian may appear a bit confused in his knowledge of history, but he is firmly certain about current politics. Kentucky cannot claim first place in political importance, but it tops the list in its keen enjoyment of politics for its own sake. It takes the average Kentuckian only a matter of moments to dispose of the weather and personal helath, but he never tires of a political discussion.”
    —For the State of Kentucky, U.S. public relief program (1935-1943)

    “The moments of the past do not remain still; they retain in our memory the motion which drew them towards the future, towards a future which has itself become the past, and draw us on in their train.”
    —Marcel Proust (1871–1922)

    “Self-expression is not enough; experiment is not enough; the recording of special moments or cases is not enough. All of the arts have broken faith or lost connection with their origin and function. They have ceased to be concerned with the legitimate and permanent material of art.”
    —Jane Heap (c. 1880–1964)