Êtes-vous un étudiant de l'EPFL à la recherche d'un projet de semestre?
Travaillez avec nous sur des projets en science des données et en visualisation, et déployez votre projet sous forme d'application sur Graph Search.
Concept
Standardized moment
Résumé
In probability theory and statistics, a standardized moment of a probability distribution is a moment (often a higher degree central moment) that is normalized, typically by a power of the standard deviation, rendering the moment scale invariant. The shape of different probability distributions can be compared using standardized moments.
Let X be a random variable with a probability distribution P and mean value (i.e. the first raw moment or moment about zero), the operator E denoting the expected value of X. Then the standardized moment of degree k is that is, the ratio of the kth moment about the mean
to the kth power of the standard deviation,
The power of k is because moments scale as meaning that they are homogeneous functions of degree k, thus the standardized moment is scale invariant. This can also be understood as being because moments have dimension; in the above ratio defining standardized moments, the dimensions cancel, so they are dimensionless numbers.
The first four standardized moments can be written as:
For skewness and kurtosis, alternative definitions exist, which are based on the third and fourth cumulant respectively.
Another scale invariant, dimensionless measure for characteristics of a distribution is the coefficient of variation, . However, this is not a standardized moment, firstly because it is a reciprocal, and secondly because is the first moment about zero (the mean), not the first moment about the mean (which is zero).
See Normalization (statistics) for further normalizing ratios.
Source officielle
À propos de ce résultat
Cette page est générée automatiquement et peut contenir des informations qui ne sont pas correctes, complètes, à jour ou pertinentes par rapport à votre recherche. Il en va de même pour toutes les autres pages de ce site. Veillez à vérifier les informations auprès des sources officielles de l'EPFL.