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On the moment generating function for random vectors via inverse survival function

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  • Song, Pingfan
  • Tan, Changchun
  • Wang, Shaochen

Abstract

In this paper, we propose one new alternative formula for moment generating function of random vectors via the inverse survival function. A recursive formula for moment generating function of random vector is obtained and as application, we derive the corresponding alternative formula for mixed moment. Several examples are also presented along with the theory.

Suggested Citation

  • Song, Pingfan & Tan, Changchun & Wang, Shaochen, 2019. "On the moment generating function for random vectors via inverse survival function," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 345-350.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:345-350
    DOI: 10.1016/j.spl.2018.10.012
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    References listed on IDEAS

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    1. Loperfido, Nicola, 2013. "Skewness and the linear discriminant function," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 93-99.
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    3. Ogasawara, Haruhiko, 2018. "The inverse survival function for multivariate distributions and its application to the product moment," Statistics & Probability Letters, Elsevier, vol. 142(C), pages 71-76.
    4. Liang Hong, 2015. "Another Remark on the Alternative Expectation Formula," The American Statistician, Taylor & Francis Journals, vol. 69(3), pages 157-159, August.
    5. Cuadras, C. M., 2002. "On the Covariance between Functions," Journal of Multivariate Analysis, Elsevier, vol. 81(1), pages 19-27, April.
    6. Liang Hong, 2012. "A Remark on the Alternative Expectation Formula," The American Statistician, Taylor & Francis Journals, vol. 66(4), pages 232-233, November.
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    Cited by:

    1. Liu, Yang, 2020. "A general treatment of alternative expectation formulae," Statistics & Probability Letters, Elsevier, vol. 166(C).

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