Archive for probability distributions

The Problem with Odd Moments

Posted in Bad Statistics, Cute Problems, mathematics with tags , , on July 9, 2018 by telescoper

Last week, realizing that it had been a while since I posted anything in the cute problems folder, I did a quick post before going to a meeting. Unfortunately, as a couple of people pointed out almost immediately, there was a problem with the question (a typo in the form of a misplaced bracket). I took the post offline until I could correct it and then promptly forgot about it. I remembered it yesterday so have now corrected it. I also added a useful integral as a hint at the end, because I’m a nice person. I suggest you start by evaluating the expectation value (i.e. the first-order moment). Answers to parts (2) and (3) through the comments box please!

Answers to (2) and (3) via the comments box please!

 

SOLUTION: I’ll leave you to draw your own sketch but, as Anton correctly points out, this is a distribution that is asymmetric about its mean but has all odd-order moments equal (including the skewness) equal to zero. it therefore provides a counter-example to common assertions, e.g. that asymmetric distributions must have non-zero skewness. The function shown in the problem was originally given by Stieltjes, but a general discussion can be be found in E. Churchill (1946) Information given by odd moments, Ann. Math. Statist. 17, 244-6. The paper is available online here.

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