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 ?
Typically, the moment-generating function of a kernel only exists for some finite interval around s = 0.
The moment-generating function of a delta function is the constant 1, and the moment-generating function of the Laplace distribution is 1/(1 - [[alpha].
The moment-generating function matrix M(s) contains ones everywhere except for the last column.
It is true for all the kernels that we have tried that have moments but no moment-generating function and that decay monotonically in the tail.
Before stating the result for reserves, a lemma for the finiteness of the moment-generating function of innovations is given first.
t] s follows model (14b) and (14c), then the moment-generating function of ([[Epsilon].
It was shown above that the moment-generating function exists for the absolute-value form ARCH process described in equation (14c).