probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set o ...

and

statistics Statistics (from German language, German: ''wikt:Statistik#German, Statistik'', "description of a State (polity), state, a country") is the discipline that concerns the collection, organization, analysis, interpretation, and presentation of ...

, the factorial moment generating function (FMGF) of the

probability distribution In probability theory and statistics, a probability distribution is the mathematical function that gives the probabilities of occurrence of different possible outcomes for an experiment. It is a mathematical description of a random phenomenon i ...

of a

real-valued In mathematics, value may refer to several, strongly related notions. In general, a mathematical value may be any definite mathematical object. In elementary mathematics, this is most often a number – for example, a real number such as or an i ...

random variable A random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. It is a mapping or a function from possible outcomes (e.g., the po ...

''X'' is defined as :

M_X(t)=\operatorname\bigl^\bigr /math>
for all

complex number In mathematics, a complex number is an element of a number system that extends the real numbers with a specific element denoted , called the imaginary unit and satisfying the equation i^= -1; every complex number can be expressed in the form ...

s ''t'' for which this

expected value In probability theory, the expected value (also called expectation, expectancy, mathematical expectation, mean, average, or first moment) is a generalization of the weighted average. Informally, the expected value is the arithmetic mean of a l ...

exists. This is the case at least for all ''t'' on the

unit circle In mathematics, a unit circle is a circle of unit radius—that is, a radius of 1. Frequently, especially in trigonometry, the unit circle is the circle of radius 1 centered at the origin (0, 0) in the Cartesian coordinate system in the Eucl ...

, t, =1

, see

characteristic function In mathematics, the term "characteristic function" can refer to any of several distinct concepts: * The indicator function of a subset, that is the function ::\mathbf_A\colon X \to \, :which for a given subset ''A'' of ''X'', has value 1 at points ...

. If ''X'' is a discrete random variable taking values only in the set of non-negative

integer An integer is the number zero (), a positive natural number (, , , etc.) or a negative integer with a minus sign (−1, −2, −3, etc.). The negative numbers are the additive inverses of the corresponding positive numbers. In the language ...

s, then

M_X

is also called

probability-generating function In probability theory, the probability generating function of a discrete random variable is a power series representation (the generating function) of the probability mass function of the random variable. Probability generating functions are oft ...

(PGF) of ''X'' and

M_X(t)

is well-defined at least for all ''t'' on the

closed Closed may refer to: Mathematics * Closure (mathematics), a set, along with operations, for which applying those operations on members always results in a member of the set * Closed set, a set which contains all its limit points * Closed interval, ...

unit disk In mathematics, the open unit disk (or disc) around ''P'' (where ''P'' is a given point in the plane), is the set of points whose distance from ''P'' is less than 1: :D_1(P) = \.\, The closed unit disk around ''P'' is the set of points whose di ...

, t, \le1

. The factorial moment generating function generates the

factorial moment In probability theory, the factorial moment is a mathematical quantity defined as the expectation or average of the falling factorial of a random variable. Factorial moments are useful for studying non-negative integer-valued random variables,D. J ...

s of the

. Provided

M_X

exists in a

neighbourhood A neighbourhood (British English, Irish English, Australian English and Canadian English) or neighborhood (American English; see spelling differences) is a geographically localised community within a larger city, town, suburb or rural are ...

of ''t'' = 1, the ''n''th factorial moment is given by http://homepages.nyu.edu/~bpn207/Teaching/2005/Stat/Generating_Functions.pdf :

M_X^(1)=\left.\frac\_ M_X(t),

where the

Pochhammer symbol In mathematics, the falling factorial (sometimes called the descending factorial, falling sequential product, or lower factorial) is defined as the polynomial :\begin (x)_n = x^\underline &= \overbrace^ \\ &= \prod_^n(x-k+1) = \prod_^(x-k) \,. \e ...

(''x'')_''n'' is the

falling factorial In mathematics, the falling factorial (sometimes called the descending factorial, falling sequential product, or lower factorial) is defined as the polynomial :\begin (x)_n = x^\underline &= \overbrace^ \\ &= \prod_^n(x-k+1) = \prod_^(x-k) \,. \e ...

(x)_n = x(x-1)(x-2)\cdots(x-n+1).\,

(Many mathematicians, especially in the field of

special function Special functions are particular mathematical functions that have more or less established names and notations due to their importance in mathematical analysis, functional analysis, geometry, physics, or other applications. The term is defined by ...

s, use the same notation to represent the

rising factorial In mathematics, the falling factorial (sometimes called the descending factorial, falling sequential product, or lower factorial) is defined as the polynomial :\begin (x)_n = x^\underline &= \overbrace^ \\ &= \prod_^n(x-k+1) = \prod_^(x-k) \,. \e ...

Examples

Poisson distribution

Suppose ''X'' has a

Poisson distribution In probability theory and statistics, the Poisson distribution is a discrete probability distribution that expresses the probability of a given number of events occurring in a fixed interval of time or space if these events occur with a known co ...

with

λ, then its factorial moment generating function is :

M_X(t)
=\sum_^\infty t^k\underbrace_
=e^\sum_^\infty \frac = e^,\qquad t\in\mathbb,

(use the definition of the exponential function) and thus we have :

\lambda^n.

References

{{DEFAULTSORT:Factorial Moment Generating Function Factorial and binomial topics Moment (mathematics) Generating functions

Examples

Poisson distribution

See also

References