In
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 moment-generating function of a real-valued
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 ...
is an alternative specification of its
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 ...
. Thus, it provides the basis of an alternative route to analytical results compared with working directly with
probability density function
In probability theory, a probability density function (PDF), or density of a continuous random variable, is a function whose value at any given sample (or point) in the sample space (the set of possible values taken by the random variable) can ...
s or
cumulative distribution function
In probability theory and statistics, the cumulative distribution function (CDF) of a real-valued random variable X, or just distribution function of X, evaluated at x, is the probability that X will take a value less than or equal to x.
Ev ...
s. There are particularly simple results for the moment-generating functions of distributions defined by the weighted sums of random variables. However, not all random variables have moment-generating functions.
As its name implies, the moment-
generating function
In mathematics, a generating function is a way of encoding an infinite sequence of numbers () by treating them as the coefficients of a formal power series. This series is called the generating function of the sequence. Unlike an ordinary seri ...
can be used to compute a distribution’s
moments: the ''n''th moment about 0 is the ''n''th derivative of the moment-generating function, evaluated at 0.
In addition to real-valued distributions (univariate distributions), moment-generating functions can be defined for vector- or matrix-valued random variables, and can even be extended to more general cases.
The moment-generating function of a real-valued distribution does not always exist, unlike the
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 ...
. There are relations between the behavior of the moment-generating function of a distribution and properties of the distribution, such as the existence of moments.
Definition
Let
be a
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 ...
with
CDF . The moment generating function (mgf) of
(or
), denoted by
, is
:
provided this
expectation exists for
in some
neighborhood
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 area, ...
of 0. That is, there is an
such that for all
in