# Moment (mathematics)

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In mathematics, a moment is a specific quantitative measure, used in both mechanics and statistics, of the shape of a set of points. If the points represent mass, then the zeroth moment is the total mass, the first moment divided by the total mass is the center of mass, and the second moment is the rotational inertia. If the points represent probability density, then the zeroth moment is the total probability (i.e. one), the first moment is the mean, the second moment is the variance, and the third moment is the skewness. The mathematical concept is closely related to the concept of moment in physics.

For a bounded distribution of mass or probability, the collection of all the moments (of all orders, from 0 to ) uniquely determines the distribution.

## Significance of the moments

The Template:Mvar-th moment of a real-valued continuous function f(x) of a real variable about a value c is

$\mu _{n}=\int _{-\infty }^{\infty }(x-c)^{n}\,f(x)\,dx.$ It is possible to define moments for random variables in a more general fashion than moments for real values—see moments in metric spaces. The moment of a function, without further explanation, usually refers to the above expression with c = 0.

For the second and higher moments, the central moments (moments about the mean, with c being the mean) are usually used rather than the moments about zero, because they provide clearer information about the distribution's shape.

Other moments may also be defined. For example, the Template:Mvar-th inverse moment about zero is $\operatorname {E} \left[X^{-n}\right]$ and the Template:Mvar-th logarithmic moment about zero is $\operatorname {E} \left[\ln ^{n}(X)\right].$ The Template:Mvar-th moment about zero of a probability density function f(x) is the expected value of Template:Mvar and is called a raw moment or crude moment. The moments about its mean Template:Mvar are called central moments; these describe the shape of the function, independently of translation.

If f is a probability density function, then the value of the integral above is called the Template:Mvar-th moment of the probability distribution. More generally, if F is a cumulative probability distribution function of any probability distribution, which may not have a density function, then the Template:Mvar-th moment of the probability distribution is given by the Riemann–Stieltjes integral

$\mu '_{n}=\operatorname {E} \left[X^{n}\right]=\int _{-\infty }^{\infty }x^{n}\,dF(x)\,$ where X is a random variable that has this cumulative distribution F, and E is the expectation operator or mean.

When

$\operatorname {E} \left[\left|X^{n}\right|\right]=\int _{-\infty }^{\infty }|x^{n}|\,dF(x)=\infty ,$ then the moment is said not to exist. If the Template:Mvar-th moment about any point exists, so does the (n − 1)-th moment (and thus, all lower-order moments) about every point.

The zeroth moment of any probability density function is 1, since the area under any probability density function must be equal to one.

Significance of moments (raw, central, standardised) and cumulants (raw, standardised), in connection with named properties of distributions
Moment number Raw moment Central moment Standardised moment Raw cumulant Standardised cumulant
1 mean 0 0 mean N/A
2 variance 1 variance 1
3 skewness skewness
4 historical kurtosis (or flatness) modern kurtosis (i.e. excess kurtosis)
5 hyperskewness
6 hyperflatness
7+ -

### Mean

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The first raw moment is the mean.

### Variance

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The second central moment is the variance. Its positive square root is the standard deviation σ.

#### Normalised moments

The normalised Template:Mvar-th central moment or standardized moment is the Template:Mvar-th central moment divided by Template:Mvar; the normalised Template:Mvar-th central moment of

$x={\frac {\operatorname {E} \left[(x-\mu )^{n}\right]}{\sigma ^{n}}}.$ These normalised central moments are dimensionless quantities, which represent the distribution independently of any linear change of scale.

### Skewness

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The third central moment is a measure of the lopsidedness of the distribution; any symmetric distribution will have a third central moment, if defined, of zero. The normalised third central moment is called the skewness, often Template:Mvar. A distribution that is skewed to the left (the tail of the distribution is longer on the left) will have a negative skewness. A distribution that is skewed to the right (the tail of the distribution is longer on the right), will have a positive skewness.

For distributions that are not too different from the normal distribution, the median will be somewhere near μγσ/6; the mode about μγσ/2.

### Kurtosis

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The fourth central moment is a measure of whether the distribution is tall and skinny or short and squat, compared to the normal distribution of the same variance. Since it is the expectation of a fourth power, the fourth central moment, where defined, is always positive; and except for a point distribution, it is always strictly positive. The fourth central moment of a normal distribution is 3σ4.

The kurtosis κ is defined to be the normalised fourth central moment minus 3 (Equivalently, as in the next section, it is the fourth cumulant divided by the square of the variance). Some authorities do not subtract three, but it is usually more convenient to have the normal distribution at the origin of coordinates. If a distribution has a peak at the mean and long tails, the fourth moment will be high and the kurtosis positive (leptokurtic); conversely, bounded distributions tend to have low kurtosis (platykurtic).

The kurtosis can be positive without limit, but Template:Mvar must be greater than or equal to γ2 − 2; equality only holds for binary distributions. For unbounded skew distributions not too far from normal, Template:Mvar tends to be somewhere in the area of γ2 and 2γ2.

The inequality can be proven by considering

$\operatorname {E} \left[(T^{2}-aT-1)^{2}\right]$ where T = (Xμ)/σ. This is the expectation of a square, so it is non-negative for all a; however it is also a quadratic polynomial in a. Its discriminant must be non-positive, which gives the required relationship.

### Mixed moments

Mixed moments are moments involving multiple variables.

Some examples are covariance, coskewness and cokurtosis. While there is a unique covariance, there are multiple co-skewnesses and co-kurtoses.

### Higher moments

High-order moments are moments beyond 4th-order moments. As with variance, skewness, and kurtosis, these are higher-order statistics, involving non-linear combinations of the data, and can be used for description or estimation of further shape parameters. The higher the moment, the harder it is to estimate, in the sense that larger samples are required in order to obtain estimates of similar quality. This is due to the excess degrees of freedom consumed by the higher orders. Further, they can be subtle to interpret, often being most easily understood in terms of lower order moments – compare the higher derivatives of jerk and jounce in physics. For example, just as the 4th-order moment (kurtosis) can be interpreted as "relative importance of tails versus shoulders in causing dispersion" (for a given dispersion, high kurtosis corresponds to heavy tails, while low kurtosis corresponds to heavy shoulders), the 5th-order moment can be interpreted as measuring "relative importance of tails versus center (mode, shoulders) in causing skew" (for a given skew, high 5th moment corresponds to heavy tail and little movement of mode, while low 5th moment corresponds to more change in shoulders).

## Cumulants

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The first moment and the second and third unnormalized central moments are additive in the sense that if X and Y are independent random variables then

{\begin{aligned}\mu _{1}(X+Y)&=\mu _{1}(X)+\mu _{1}(Y)\\\operatorname {Var} (X+Y)&=\operatorname {Var} (X)+\operatorname {Var} (Y)\\\mu _{3}(X+Y)&=\mu _{3}(X)+\mu _{3}(Y)\end{aligned}} (These can also hold for variables that satisfy weaker conditions than independence. The first always holds; if the second holds, the variables are called uncorrelated).

In fact, these are the first three cumulants and all cumulants share this additivity property.

## Sample moments

For all k, the Template:Mvar-th raw moment of a population can be estimated using the Template:Mvar-th raw sample moment

${\frac {1}{n}}\sum _{i=1}^{n}X_{i}^{k}$ applied to a sample X1, ..., Xn drawn from the population.

It can be shown that the expected value of the raw sample moment is equal to the Template:Mvar-th raw moment of the population, if that moment exists, for any sample size Template:Mvar. It is thus an unbiased estimator. This contrasts with the situation for central moments, whose computation uses up a degree of freedom by using the sample mean. So for example an unbiased estimate of the population variance (the second central moment) is given by

${\frac {1}{n-1}}\sum _{i=1}^{n}(X_{i}-{\bar {X}})^{2}$ in which the previous denominator Template:Mvar has been replaced by the degrees of freedom n − 1, and in which ${\bar {X}}$ refers to the sample mean. This estimate of the population moment is greater than the unadjusted observed sample moment by a factor of ${\tfrac {n}{n-1}},$ and it is referred to as the "adjusted sample variance" or sometimes simply the "sample variance".

## Problem of moments

{{#invoke:main|main}} The problem of moments seeks characterizations of sequences { μn : n = 1, 2, 3, ... } that are sequences of moments of some function f.

## Partial moments

Partial moments are sometimes referred to as "one-sided moments." The Template:Mvar-th order lower and upper partial moments with respect to a reference point r may be expressed as

$\mu _{n}^{-}(r)=\int _{-\infty }^{r}(r-x)^{n}\,f(x)\,dx,$ $\mu _{n}^{+}(r)=\int _{r}^{\infty }(x-r)^{n}\,f(x)\,dx.$ Partial moments are normalized by being raised to the power 1/n. The upside potential ratio may be expressed as a ratio of a first-order upper partial moment to a normalized second-order lower partial moment. They have been used in the definition of some financial metrics, such as the Sortino ratio, as they focus purely on upside or downside.

## Central moments in metric spaces

Let (M, d) be a metric space, and let B(M) be the [[Borel sigma algebra|Borel Template:Mvar-algebra]] on M, the [[sigma algebra|Template:Mvar-algebra]] generated by the d-open subsets of M. (For technical reasons, it is also convenient to assume that M is a separable space with respect to the metric d.) Let 1 ≤ p ≤ ∞.

The pth central moment of a measure Template:Mvar on the measurable space (M, B(M)) about a given point x0M is defined to be

$\int _{M}d(x,x_{0})^{p}\,{\mathrm {d} }\mu (x).$ μ is said to have finite Template:Mvar-th central moment if the Template:Mvar-th central moment of Template:Mvar about x0 is finite for some x0M.

This terminology for measures carries over to random variables in the usual way: if (Ω, Σ, P) is a probability space and X : Ω → M is a random variable, then the Template:Mvar-th central moment of X about x0M is defined to be

$\int _{M}d(x,x_{0})^{p}\,{\mathrm {d} }\left(X_{*}({\mathbf {P} })\right)(x)\equiv \int _{\Omega }d(X(\omega ),x_{0})^{p}\,{\mathrm {d} }{\mathbf {P} }(\omega ),$ and X has finite Template:Mvar-th central moment if the Template:Mvar-th central moment of X about x0 is finite for some x0M.