moment generating function

(redirected from Moment-generating function)
Also found in: Acronyms, Wikipedia.

moment generating function

[¦mō·mənt ¦jen·ə‚rād·iŋ ′fəŋk·shən]
(statistics)
For a frequency function ƒ (x), a function φ(t) that is defined as the integral from -∞ to ∞ of exp(tx) ƒ(x) dx, and whose derivatives evaluated at t = 0 give the moments of ƒ.
References in periodicals archive ?
Before stating the result for reserves, a lemma for the finiteness of the moment-generating function of innovations is given first.
The second part of the text is for the more mathematically inclined and discusses properties of the expected value, continuous distributions, probability distributions of a single random variable, joint probability distributions for dependent random variables, the multivariate normal distribution, conditional distributions, and moment-generating functions.
The reader should be prepared for constant use of conditional expectations, moment-generating functions, integration by parts, etc.