Statistics

   

The Moment-Generating Function of Normal Variate Functionals Using the Star Probability Measure

Authors: Yuri Heymann

The motivation of this study is to investigate new methods for the calculation of the moment-generating function of the lognormal distribution. Taylor expansion method on the moments of the lognormal suffers from divergence issues, saddle-point approximation is not exact, and integration methods can be complicated. In the present paper we introduce a new probability measure that we refer to as the star probability measure as an alternative approach to compute the moment-generating function of normal variate functionals such as the lognormal distribution.

Comments: 15 Pages.

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Submission history

[v1] 2017-06-21 18:06:54
[v2] 2017-09-24 06:03:17
[v3] 2017-10-10 12:46:06
[v4] 2017-10-12 02:17:11
[v5] 2017-10-13 00:04:37
[v6] 2017-10-14 03:28:07
[v7] 2017-10-17 16:05:40
[v8] 2017-10-19 01:25:40
[v9] 2017-10-21 02:06:58
[vA] 2017-10-22 15:26:25
[vB] 2017-10-25 00:33:05

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