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Factorial moment

From Wikipedia, the free encyclopedia

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,[1] and arise in the use of probability-generating functions to derive the moments of discrete random variables.

Factorial moments serve as analytic tools in the mathematical field of combinatorics, which is the study of discrete mathematical structures.[2]

Definition

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For a natural number r, the r-th factorial moment of a probability distribution on the real or complex numbers, or, in other words, a random variable X with that probability distribution, is[3]

where the E is the expectation (operator) and

is the falling factorial, which gives rise to the name, although the notation (x)r varies depending on the mathematical field.[a] Of course, the definition requires that the expectation is meaningful, which is the case if (X)r ≥ 0 or E[|(X)r|] < ∞.

If X is the number of successes in n trials, and pr is the probability that any r of the n trials are all successes, then[5]

Examples

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Poisson distribution

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If a random variable X has a Poisson distribution with parameter λ, then the factorial moments of X are

which are simple in form compared to its moments, which involve Stirling numbers of the second kind.

Binomial distribution

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If a random variable X has a binomial distribution with success probability p[0,1] and number of trials n, then the factorial moments of X are[6]

where by convention, and are understood to be zero if r > n.

Hypergeometric distribution

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If a random variable X has a hypergeometric distribution with population size N, number of success states K ∈ {0,...,N} in the population, and draws n ∈ {0,...,N}, then the factorial moments of X are [6]

Beta-binomial distribution

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If a random variable X has a beta-binomial distribution with parameters α > 0, β > 0, and number of trials n, then the factorial moments of X are

Calculation of moments

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The rth raw moment of a random variable X can be expressed in terms of its factorial moments by the formula

where the curly braces denote Stirling numbers of the second kind.

See also

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Notes

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  1. ^ The Pochhammer symbol (x)r is used especially in the theory of special functions, to denote the falling factorial x(x - 1)(x - 2) ... (x - r + 1);.[4] whereas the present notation is used more often in combinatorics.

References

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  1. ^ D. J. Daley and D. Vere-Jones. An introduction to the theory of point processes. Vol. I. Probability and its Applications (New York). Springer, New York, second edition, 2003
  2. ^ Riordan, John (1958). Introduction to Combinatorial Analysis. Dover.
  3. ^ Riordan, John (1958). Introduction to Combinatorial Analysis. Dover. p. 30.
  4. ^ NIST Digital Library of Mathematical Functions. Retrieved 9 November 2013.
  5. ^ P.V.Krishna Iyer. "A Theorem on Factorial Moments and its Applications". Annals of Mathematical Statistics Vol. 29 (1958). Pages 254-261.
  6. ^ a b Potts, RB (1953). "Note on the factorial moments of standard distributions". Australian Journal of Physics. 6 (4). CSIRO: 498–499. Bibcode:1953AuJPh...6..498P. doi:10.1071/ph530498.