CumulantGeneratingFunction

CumulantGeneratingFunction[dist,t]

gives the cumulant-generating function for the distribution dist as a function of the variable t.

CumulantGeneratingFunction[dist,{t1,t2,}]

gives the cumulant-generating function for the multivariate distribution dist as a function of the variables t1, t2, .

Details

Examples

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Basic Examples  (3)

Compute a cumulant-generating function (cgf) for a continuous univariate distribution:

The cgf for a univariate discrete distribution:

The cgf for a multivariate distribution:

Scope  (5)

Compute the cgf for a formula distribution:

Find the cgf for a function of random variates:

Compute the cgf for data distribution:

Find the cgf for a truncated distribution:

Find the cgf for the slice distribution of a random process:

Applications  (5)

The cumulant-generating function of a difference of two independent random variables is equal to the sum of their cumulant-generating functions with oppositive sign arguments:

Illustrate the central limit theorem:

Find the cumulant-generating function for the standardized random variate:

Find the moment-generating function for the sum of standardized random variates rescaled by :

Find the large limit:

Compare with the moment-generating function of a standard normal distribution:

Find the Esscher premium for insuring against losses following GammaDistribution:

Compare with the definition:

Construct a BernsteinChernoff bound for the survival function :

Large approximation of the bound:

Construct Daniel's saddle point approximation to PDF of VarianceGammaDistribution:

Find the saddle point associated with the argument of probability density function :

Select the solution that is valid for all real , including the origin:

The approximation is constructed using the cumulant-generating function at the saddle point:

Find the normalization constant:

Compare the approximation to the exact density:

Properties & Relations  (3)

Exponential of CumulantGeneratingFunction gives MomentGeneratingFunction:

CumulantGeneratingFunction is an exponential generating function for the sequence of cumulants:

Use CumulantGeneratingFunction directly:

Cumulant is equivalent to :

Use SeriesCoefficient formulation:

Possible Issues  (2)

For some distributions with long tails, cumulants of only several low orders are defined:

Correspondingly, CumulantGeneratingFunction is undefined:

CumulantGeneratingFunction is not always known in closed form:

Use Cumulant to find cumulants directly:

Introduced in 2010
 (8.0)