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x4 e 22 dx = 3 4 ?
(1)
2
I assume = 0 for notational convenience, but the coordinate translation is trivial. We
replace x2 in the exponent with (x )2 , and since we are looking for a central moment,
replace x4 in equation 1 with (x )4 . The notation is uglier but the math will be exactly
the same.
We need to apply integration by parts, wherein
Z
Z
vdu = u v udv.
(2)
x2
e 22 dx
u = e 22
du = x
2
2 3
v = x
dv = 3 2 x2 dx
The reader will note that v du is indeed the integral from equation 1. Then, applying
formula 2, equation 1 becomes:
Z
2
x2
1
2 3 x
2
2
2
2
(3)
x e 2
+ 3
x e 2 dx
2
The first part is symmetric around zero, and so we neednot do any calculation to see that it
will be zero. The integral (after multiplying through 1/ 2) is the equation for the second
moment, aka 2 , meaning that equation 3 reduces to 3 4 , as expected.
variance Now, dear reader, you may feel that the above was begging the real question,
which is: why does something that involves the square root of pi evaluate to something as
nice as three ? To answer this, we need to explain why it is that the variance of a N (, )
is 2 . That is, how do we evaluate the integral at the end of equation 3? We need only
reapply formula 2, with:
x2
x2
du = x
e 22 dx
u = e 22 .
2
2
v = x
dv = 2 dx
1
Notice that this is exactly like the first application of the formula, but with v = 2 x instead
of v = 2 x3 . Then, the second moment is:
Z
Z
x2
x2
x2
1
1
2
2
2 22
2
2
2
2
e dx
xe
+
(4)
x e dx =
2
2
The left part is again symmetric and zero by inspection. The integral on the right is a little
more difficult. The trick1 is to square the integral:
2 Z
Z
Z
Z Z
(x2 +y 2 )
y 2
x2
x2
2
2
2
e 2 dx =
e 2 dx
e 2 dy =
e 22 dxdy.
sin
= r cos2 + r sin2 = r.
r cos
= 2 2
Recall that we
had squared the integral to do all of this, so the correct solution is the square
root of this: 2. Now, we can substitute that in to equation 4 to find the correct second
moment:
Z
x2
x2
1
1
2
+
e 22 dx = 0 +
xe 22
2 2 = 2 .
2
2
QEFD.
1