A summation from the Inverse Gaussian Distribution
$begingroup$
I am reading Abate and Whihtt "1996An Operational Calculus for Probability Distributions via Laplace Transforms" and meet one summation question.
In Section 8, authors mentioned that the Laplace transform of a particular Inverse Gaussian distribution is
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right),$$
and the moment is
$$m_{n+1}=sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^k.$$
Then, by the relationship between the Laplace transform and the moments, we should have
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)=sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}=1+sum
_{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}.$$
But I do not know how to simplify the summation to get the exp function. Exchange the order of summation does not seem to work here:
begin{align*}
&1+sum _{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{n=0}^{infty } sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^kfrac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=k}^{infty } frac{(n+k)!}{(n-k)!}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=0}^{infty } frac{(n+2k)!}{(n+k+1)!}frac{(-s)^{n+1}}{n!}.
end{align*}
Thanks in advance.
probability-distributions summation taylor-expansion
$endgroup$
add a comment |
$begingroup$
I am reading Abate and Whihtt "1996An Operational Calculus for Probability Distributions via Laplace Transforms" and meet one summation question.
In Section 8, authors mentioned that the Laplace transform of a particular Inverse Gaussian distribution is
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right),$$
and the moment is
$$m_{n+1}=sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^k.$$
Then, by the relationship between the Laplace transform and the moments, we should have
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)=sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}=1+sum
_{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}.$$
But I do not know how to simplify the summation to get the exp function. Exchange the order of summation does not seem to work here:
begin{align*}
&1+sum _{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{n=0}^{infty } sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^kfrac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=k}^{infty } frac{(n+k)!}{(n-k)!}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=0}^{infty } frac{(n+2k)!}{(n+k+1)!}frac{(-s)^{n+1}}{n!}.
end{align*}
Thanks in advance.
probability-distributions summation taylor-expansion
$endgroup$
$begingroup$
Unless you already recognize the double sum on the right hand side (Bessel polynomial, closely related to modified Bessel function of the 2nd kind), I'm afraid a sensible derivation can only start from the left hand side. If you are still interested in such a solution (after looking it up in wiki etc), please let me know.
$endgroup$
– Lee David Chung Lin
Feb 20 at 14:21
$begingroup$
Yes,could you please pass me more details? Appreciate.
$endgroup$
– gouwangzhangdong
Feb 21 at 13:58
add a comment |
$begingroup$
I am reading Abate and Whihtt "1996An Operational Calculus for Probability Distributions via Laplace Transforms" and meet one summation question.
In Section 8, authors mentioned that the Laplace transform of a particular Inverse Gaussian distribution is
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right),$$
and the moment is
$$m_{n+1}=sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^k.$$
Then, by the relationship between the Laplace transform and the moments, we should have
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)=sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}=1+sum
_{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}.$$
But I do not know how to simplify the summation to get the exp function. Exchange the order of summation does not seem to work here:
begin{align*}
&1+sum _{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{n=0}^{infty } sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^kfrac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=k}^{infty } frac{(n+k)!}{(n-k)!}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=0}^{infty } frac{(n+2k)!}{(n+k+1)!}frac{(-s)^{n+1}}{n!}.
end{align*}
Thanks in advance.
probability-distributions summation taylor-expansion
$endgroup$
I am reading Abate and Whihtt "1996An Operational Calculus for Probability Distributions via Laplace Transforms" and meet one summation question.
In Section 8, authors mentioned that the Laplace transform of a particular Inverse Gaussian distribution is
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right),$$
and the moment is
$$m_{n+1}=sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^k.$$
Then, by the relationship between the Laplace transform and the moments, we should have
$$tilde{f}(s;1,v)=expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)=sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}=1+sum
_{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}.$$
But I do not know how to simplify the summation to get the exp function. Exchange the order of summation does not seem to work here:
begin{align*}
&1+sum _{n=0}^{infty } m_{n+1}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{n=0}^{infty } sum _{k=0}^n frac{(n+k)!}{k!(n-k)!}left(frac{v}{2}right)^kfrac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=k}^{infty } frac{(n+k)!}{(n-k)!}frac{(-s)^{n+1}}{(n+1)!}\
=&1+sum _{k=0}^{infty } frac{1}{k!}left(frac{v}{2}right)^ksum _{n=0}^{infty } frac{(n+2k)!}{(n+k+1)!}frac{(-s)^{n+1}}{n!}.
end{align*}
Thanks in advance.
probability-distributions summation taylor-expansion
probability-distributions summation taylor-expansion
edited Jan 31 at 20:51
Renato Faraone
2,34611727
2,34611727
asked Jan 25 at 3:34
gouwangzhangdonggouwangzhangdong
888
888
$begingroup$
Unless you already recognize the double sum on the right hand side (Bessel polynomial, closely related to modified Bessel function of the 2nd kind), I'm afraid a sensible derivation can only start from the left hand side. If you are still interested in such a solution (after looking it up in wiki etc), please let me know.
$endgroup$
– Lee David Chung Lin
Feb 20 at 14:21
$begingroup$
Yes,could you please pass me more details? Appreciate.
$endgroup$
– gouwangzhangdong
Feb 21 at 13:58
add a comment |
$begingroup$
Unless you already recognize the double sum on the right hand side (Bessel polynomial, closely related to modified Bessel function of the 2nd kind), I'm afraid a sensible derivation can only start from the left hand side. If you are still interested in such a solution (after looking it up in wiki etc), please let me know.
$endgroup$
– Lee David Chung Lin
Feb 20 at 14:21
$begingroup$
Yes,could you please pass me more details? Appreciate.
$endgroup$
– gouwangzhangdong
Feb 21 at 13:58
$begingroup$
Unless you already recognize the double sum on the right hand side (Bessel polynomial, closely related to modified Bessel function of the 2nd kind), I'm afraid a sensible derivation can only start from the left hand side. If you are still interested in such a solution (after looking it up in wiki etc), please let me know.
$endgroup$
– Lee David Chung Lin
Feb 20 at 14:21
$begingroup$
Unless you already recognize the double sum on the right hand side (Bessel polynomial, closely related to modified Bessel function of the 2nd kind), I'm afraid a sensible derivation can only start from the left hand side. If you are still interested in such a solution (after looking it up in wiki etc), please let me know.
$endgroup$
– Lee David Chung Lin
Feb 20 at 14:21
$begingroup$
Yes,could you please pass me more details? Appreciate.
$endgroup$
– gouwangzhangdong
Feb 21 at 13:58
$begingroup$
Yes,could you please pass me more details? Appreciate.
$endgroup$
– gouwangzhangdong
Feb 21 at 13:58
add a comment |
1 Answer
1
active
oldest
votes
$begingroup$
For convenience, denote the left hand side as a real-valued function of $s$ where $t$ is a parameter:
$$g(s) equiv expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)$$
Compare the MacLaurin series (Taylor expansion at $s = 0$) of $g$ with the target right hand side
$$g(s) = sum_{n=0}^{infty} g^{(n)}(0) frac{ s^n }{n!} qquad text{v.s.} qquad sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}$$
one sees that the objective is to show $g^{(n)}(0) = -m_n~,$ where $g^{(n)}(0) = dfrac{d^ng(s)}{ds^n} Bigg|_{s=0}$ is the $n$-th derivative evaluated at zero.
Let's manually compute the first few terms of $g^{(n)}(s)$ for general $s$ (before evaluated at $s = 0$) to examine the pattern of the functional form. Use the shorthand $g equiv g(s)$ for the zero-th order at $n = 0$.
begin{align}
g'(s) &= frac{-g}{ sqrt{1 + 2vs} } \
g''(s) &= frac{ g }{ 1 + 2vs } left( 1 + frac{ v }{ sqrt{1 + 2vs} } right) \
g'''(s) &= frac{ -g }{ (1 + 2vs)^{3/2} } left( 1 + frac{ 3v }{ sqrt{1 + 2vs} }+ frac{ 3v^2 }{ 1 + 2vs } right) \
g^{(4)}(s) &= frac{ g }{ (1 + 2vs)^2 } left( 1 + color{blue}{ frac{ 6v }{ sqrt{1 + 2vs} } } + color{blue}{ frac{ 15v^2 }{ 1 + 2vs } } + frac{ 15v^3 }{ (1 + 2vs)^{3/2} }right) \
g^{(5)}(s) &= frac{ -g }{ (1 + 2vs)^{5/2} } left( 1 + frac{ 10v }{ sqrt{1 + 2vs} } + color{magenta}{ frac{ 45v^2 }{ 1 + 2vs } } + frac{ 105v^3 }{ (1 + 2vs)^{3/2} } + frac{ 105v^4 }{ (1 + 2vs)^2 } right)
end{align}
No trick was used (nor needed) in the calculation above. Just be patient and carry out each step. The point is that through this process one obtains a concrete sense of how one order $g^{(n-1)}(s)$ yields the next order $g^{(n)}(s)$.
If you have actually done the differentiation above, you should find it reasonable to conjecture that
$$g^{(n)}(s) = (-1)^n frac{g}{ (1 + 2vs)^{n/2} } sum_{k = 0}^{n-1} frac{ v^k cdot A_{n,k} }{ (1 + 2vs)^{k/2} } tag*{Eq.(1a)} $$
where $A_{n,k}$ are the constant coefficients that satisfy the following recurrence relation
$$A_{n,k} = A_{n-1,k} + (n+k-2) A_{n-1,k-1} tag*{Eq.(1b)}$$
accompanied by the initial and boundary conditions
$$begin{aligned}
A_{n,0} &= 1 & A_{n,n} &= 0 & forall~ n &geq 0
end{aligned} tag*{Eq.(1c)}$$
For example, at $n = 5$ and $k = 2$ the magenta $color{magenta}{45}$ comes from the $n = 4$ blue $color{blue}{6}$ and $color{blue}{15}~$, as in $45 = 15 + (n+k-2)cdot 6 = 15 + 5 cdot 6$
$$begin{array}{c|ccccccccc}
& k = 0 & 1 & 2 & 3 & 4 & 5 & 6 & 7 \ hline
n = 1 & 1 & color{gray}{0} & \
n = 2 & 1 & 1 & color{gray}{0} \
n = 3 & 1 & 3 & 3 & color{gray}{0} \
n = 4 & 1 & color{blue}{6} & color{blue}{15} & 15 & color{gray}{0} \
n = 5 & 1 & 10 & color{magenta}{45} & 105 & 105 & color{gray}{0} & \
n = 6 & 1 & 15 & 105 & 420 & 945 & 945 & color{gray}{0} \
n = 7 & 1 & 21 & 210 & 1260 & 4725 & 10395 & 10395 & color{gray}{0} \
end{array}$$
The proof of this "conjecture" $text{Eq}.(1)$ by induction is literally summarizing/repeating what happens in the chain rule during the differentiation:
$A_{n,k}$ is the coefficient of $displaystyle frac{ g cdot v^k }{ (1 + 2vs)^{(n+k)/2} }$, which from order $n - 1$ can only come from two places:
begin{align}
text{one:}& & &frac{ v^k }{ (1 + 2vs)^{( n - 1 + k )/2} } cdot frac{d}{ds} g & &because g' = frac{-g}{ sqrt{1 + 2vs} } \
text{two:}& & & g cdot frac{d}{ds} frac{ v^{k-1} }{ (1 + 2vs)^{(n - 1 + k - 1)/2} } & &because left( frac1{ (1 + 2vs)^{(n - 1 + k - 1)/2} } right)' = frac{ (n+k-2) cdot v }{ (1 + 2vs)^{(n + k )/2} }
end{align}
The minus sign is easy so was omitted in the above, and the recurrence holds trivially for the initial $n = 1$ to $n = 2$ for all their relevant $k$.$quad Q.E.D$
The recurrence relation Eq.($1$b) or its equivalent alternate expression (that defines the "triangle" displayed above) is well-studied and known as the coefficients of the Bessel polynomial (for those who don't like wiki, see e.g. Wolfram MathWorld).
In the OEIS (Online Encyclopedia of Integer Sequences) it is listed as A001498, where one can find and related formulae and various combinatorial interpretations. Note: the index $n$ differs from here by one in OEIS.
Besides close connections to the several famous polynomials from ODE, Bessel polynomial is also related to: matchings of the complete graph, enumeration of unordered forests composed of ordered rooted trees, and the differential operator $D equiv frac1{t} frac{d}{dt}$.
In particular, the recurrence relation corresponds to a general formula that is exactly $m_n$, the moments on the right hand side (again, note the $n$-index shift here compared with the common definition).
This is well-documented in all the three sources provided above (wiki, Wolfram, OEIS), in addition to the often-cited 1949 paper by H.L. Krall that is somewhat friendly to all levels of readers. In particular, one should check out Eq.(21) for the recurrence relations and Eq.(25) in the paper for the generating function (or the section in wiki, or Eq.(11) in Wolfram) that states exactly the identity of the posted question.
$endgroup$
add a comment |
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3086670%2fa-summation-from-the-inverse-gaussian-distribution%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
For convenience, denote the left hand side as a real-valued function of $s$ where $t$ is a parameter:
$$g(s) equiv expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)$$
Compare the MacLaurin series (Taylor expansion at $s = 0$) of $g$ with the target right hand side
$$g(s) = sum_{n=0}^{infty} g^{(n)}(0) frac{ s^n }{n!} qquad text{v.s.} qquad sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}$$
one sees that the objective is to show $g^{(n)}(0) = -m_n~,$ where $g^{(n)}(0) = dfrac{d^ng(s)}{ds^n} Bigg|_{s=0}$ is the $n$-th derivative evaluated at zero.
Let's manually compute the first few terms of $g^{(n)}(s)$ for general $s$ (before evaluated at $s = 0$) to examine the pattern of the functional form. Use the shorthand $g equiv g(s)$ for the zero-th order at $n = 0$.
begin{align}
g'(s) &= frac{-g}{ sqrt{1 + 2vs} } \
g''(s) &= frac{ g }{ 1 + 2vs } left( 1 + frac{ v }{ sqrt{1 + 2vs} } right) \
g'''(s) &= frac{ -g }{ (1 + 2vs)^{3/2} } left( 1 + frac{ 3v }{ sqrt{1 + 2vs} }+ frac{ 3v^2 }{ 1 + 2vs } right) \
g^{(4)}(s) &= frac{ g }{ (1 + 2vs)^2 } left( 1 + color{blue}{ frac{ 6v }{ sqrt{1 + 2vs} } } + color{blue}{ frac{ 15v^2 }{ 1 + 2vs } } + frac{ 15v^3 }{ (1 + 2vs)^{3/2} }right) \
g^{(5)}(s) &= frac{ -g }{ (1 + 2vs)^{5/2} } left( 1 + frac{ 10v }{ sqrt{1 + 2vs} } + color{magenta}{ frac{ 45v^2 }{ 1 + 2vs } } + frac{ 105v^3 }{ (1 + 2vs)^{3/2} } + frac{ 105v^4 }{ (1 + 2vs)^2 } right)
end{align}
No trick was used (nor needed) in the calculation above. Just be patient and carry out each step. The point is that through this process one obtains a concrete sense of how one order $g^{(n-1)}(s)$ yields the next order $g^{(n)}(s)$.
If you have actually done the differentiation above, you should find it reasonable to conjecture that
$$g^{(n)}(s) = (-1)^n frac{g}{ (1 + 2vs)^{n/2} } sum_{k = 0}^{n-1} frac{ v^k cdot A_{n,k} }{ (1 + 2vs)^{k/2} } tag*{Eq.(1a)} $$
where $A_{n,k}$ are the constant coefficients that satisfy the following recurrence relation
$$A_{n,k} = A_{n-1,k} + (n+k-2) A_{n-1,k-1} tag*{Eq.(1b)}$$
accompanied by the initial and boundary conditions
$$begin{aligned}
A_{n,0} &= 1 & A_{n,n} &= 0 & forall~ n &geq 0
end{aligned} tag*{Eq.(1c)}$$
For example, at $n = 5$ and $k = 2$ the magenta $color{magenta}{45}$ comes from the $n = 4$ blue $color{blue}{6}$ and $color{blue}{15}~$, as in $45 = 15 + (n+k-2)cdot 6 = 15 + 5 cdot 6$
$$begin{array}{c|ccccccccc}
& k = 0 & 1 & 2 & 3 & 4 & 5 & 6 & 7 \ hline
n = 1 & 1 & color{gray}{0} & \
n = 2 & 1 & 1 & color{gray}{0} \
n = 3 & 1 & 3 & 3 & color{gray}{0} \
n = 4 & 1 & color{blue}{6} & color{blue}{15} & 15 & color{gray}{0} \
n = 5 & 1 & 10 & color{magenta}{45} & 105 & 105 & color{gray}{0} & \
n = 6 & 1 & 15 & 105 & 420 & 945 & 945 & color{gray}{0} \
n = 7 & 1 & 21 & 210 & 1260 & 4725 & 10395 & 10395 & color{gray}{0} \
end{array}$$
The proof of this "conjecture" $text{Eq}.(1)$ by induction is literally summarizing/repeating what happens in the chain rule during the differentiation:
$A_{n,k}$ is the coefficient of $displaystyle frac{ g cdot v^k }{ (1 + 2vs)^{(n+k)/2} }$, which from order $n - 1$ can only come from two places:
begin{align}
text{one:}& & &frac{ v^k }{ (1 + 2vs)^{( n - 1 + k )/2} } cdot frac{d}{ds} g & &because g' = frac{-g}{ sqrt{1 + 2vs} } \
text{two:}& & & g cdot frac{d}{ds} frac{ v^{k-1} }{ (1 + 2vs)^{(n - 1 + k - 1)/2} } & &because left( frac1{ (1 + 2vs)^{(n - 1 + k - 1)/2} } right)' = frac{ (n+k-2) cdot v }{ (1 + 2vs)^{(n + k )/2} }
end{align}
The minus sign is easy so was omitted in the above, and the recurrence holds trivially for the initial $n = 1$ to $n = 2$ for all their relevant $k$.$quad Q.E.D$
The recurrence relation Eq.($1$b) or its equivalent alternate expression (that defines the "triangle" displayed above) is well-studied and known as the coefficients of the Bessel polynomial (for those who don't like wiki, see e.g. Wolfram MathWorld).
In the OEIS (Online Encyclopedia of Integer Sequences) it is listed as A001498, where one can find and related formulae and various combinatorial interpretations. Note: the index $n$ differs from here by one in OEIS.
Besides close connections to the several famous polynomials from ODE, Bessel polynomial is also related to: matchings of the complete graph, enumeration of unordered forests composed of ordered rooted trees, and the differential operator $D equiv frac1{t} frac{d}{dt}$.
In particular, the recurrence relation corresponds to a general formula that is exactly $m_n$, the moments on the right hand side (again, note the $n$-index shift here compared with the common definition).
This is well-documented in all the three sources provided above (wiki, Wolfram, OEIS), in addition to the often-cited 1949 paper by H.L. Krall that is somewhat friendly to all levels of readers. In particular, one should check out Eq.(21) for the recurrence relations and Eq.(25) in the paper for the generating function (or the section in wiki, or Eq.(11) in Wolfram) that states exactly the identity of the posted question.
$endgroup$
add a comment |
$begingroup$
For convenience, denote the left hand side as a real-valued function of $s$ where $t$ is a parameter:
$$g(s) equiv expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)$$
Compare the MacLaurin series (Taylor expansion at $s = 0$) of $g$ with the target right hand side
$$g(s) = sum_{n=0}^{infty} g^{(n)}(0) frac{ s^n }{n!} qquad text{v.s.} qquad sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}$$
one sees that the objective is to show $g^{(n)}(0) = -m_n~,$ where $g^{(n)}(0) = dfrac{d^ng(s)}{ds^n} Bigg|_{s=0}$ is the $n$-th derivative evaluated at zero.
Let's manually compute the first few terms of $g^{(n)}(s)$ for general $s$ (before evaluated at $s = 0$) to examine the pattern of the functional form. Use the shorthand $g equiv g(s)$ for the zero-th order at $n = 0$.
begin{align}
g'(s) &= frac{-g}{ sqrt{1 + 2vs} } \
g''(s) &= frac{ g }{ 1 + 2vs } left( 1 + frac{ v }{ sqrt{1 + 2vs} } right) \
g'''(s) &= frac{ -g }{ (1 + 2vs)^{3/2} } left( 1 + frac{ 3v }{ sqrt{1 + 2vs} }+ frac{ 3v^2 }{ 1 + 2vs } right) \
g^{(4)}(s) &= frac{ g }{ (1 + 2vs)^2 } left( 1 + color{blue}{ frac{ 6v }{ sqrt{1 + 2vs} } } + color{blue}{ frac{ 15v^2 }{ 1 + 2vs } } + frac{ 15v^3 }{ (1 + 2vs)^{3/2} }right) \
g^{(5)}(s) &= frac{ -g }{ (1 + 2vs)^{5/2} } left( 1 + frac{ 10v }{ sqrt{1 + 2vs} } + color{magenta}{ frac{ 45v^2 }{ 1 + 2vs } } + frac{ 105v^3 }{ (1 + 2vs)^{3/2} } + frac{ 105v^4 }{ (1 + 2vs)^2 } right)
end{align}
No trick was used (nor needed) in the calculation above. Just be patient and carry out each step. The point is that through this process one obtains a concrete sense of how one order $g^{(n-1)}(s)$ yields the next order $g^{(n)}(s)$.
If you have actually done the differentiation above, you should find it reasonable to conjecture that
$$g^{(n)}(s) = (-1)^n frac{g}{ (1 + 2vs)^{n/2} } sum_{k = 0}^{n-1} frac{ v^k cdot A_{n,k} }{ (1 + 2vs)^{k/2} } tag*{Eq.(1a)} $$
where $A_{n,k}$ are the constant coefficients that satisfy the following recurrence relation
$$A_{n,k} = A_{n-1,k} + (n+k-2) A_{n-1,k-1} tag*{Eq.(1b)}$$
accompanied by the initial and boundary conditions
$$begin{aligned}
A_{n,0} &= 1 & A_{n,n} &= 0 & forall~ n &geq 0
end{aligned} tag*{Eq.(1c)}$$
For example, at $n = 5$ and $k = 2$ the magenta $color{magenta}{45}$ comes from the $n = 4$ blue $color{blue}{6}$ and $color{blue}{15}~$, as in $45 = 15 + (n+k-2)cdot 6 = 15 + 5 cdot 6$
$$begin{array}{c|ccccccccc}
& k = 0 & 1 & 2 & 3 & 4 & 5 & 6 & 7 \ hline
n = 1 & 1 & color{gray}{0} & \
n = 2 & 1 & 1 & color{gray}{0} \
n = 3 & 1 & 3 & 3 & color{gray}{0} \
n = 4 & 1 & color{blue}{6} & color{blue}{15} & 15 & color{gray}{0} \
n = 5 & 1 & 10 & color{magenta}{45} & 105 & 105 & color{gray}{0} & \
n = 6 & 1 & 15 & 105 & 420 & 945 & 945 & color{gray}{0} \
n = 7 & 1 & 21 & 210 & 1260 & 4725 & 10395 & 10395 & color{gray}{0} \
end{array}$$
The proof of this "conjecture" $text{Eq}.(1)$ by induction is literally summarizing/repeating what happens in the chain rule during the differentiation:
$A_{n,k}$ is the coefficient of $displaystyle frac{ g cdot v^k }{ (1 + 2vs)^{(n+k)/2} }$, which from order $n - 1$ can only come from two places:
begin{align}
text{one:}& & &frac{ v^k }{ (1 + 2vs)^{( n - 1 + k )/2} } cdot frac{d}{ds} g & &because g' = frac{-g}{ sqrt{1 + 2vs} } \
text{two:}& & & g cdot frac{d}{ds} frac{ v^{k-1} }{ (1 + 2vs)^{(n - 1 + k - 1)/2} } & &because left( frac1{ (1 + 2vs)^{(n - 1 + k - 1)/2} } right)' = frac{ (n+k-2) cdot v }{ (1 + 2vs)^{(n + k )/2} }
end{align}
The minus sign is easy so was omitted in the above, and the recurrence holds trivially for the initial $n = 1$ to $n = 2$ for all their relevant $k$.$quad Q.E.D$
The recurrence relation Eq.($1$b) or its equivalent alternate expression (that defines the "triangle" displayed above) is well-studied and known as the coefficients of the Bessel polynomial (for those who don't like wiki, see e.g. Wolfram MathWorld).
In the OEIS (Online Encyclopedia of Integer Sequences) it is listed as A001498, where one can find and related formulae and various combinatorial interpretations. Note: the index $n$ differs from here by one in OEIS.
Besides close connections to the several famous polynomials from ODE, Bessel polynomial is also related to: matchings of the complete graph, enumeration of unordered forests composed of ordered rooted trees, and the differential operator $D equiv frac1{t} frac{d}{dt}$.
In particular, the recurrence relation corresponds to a general formula that is exactly $m_n$, the moments on the right hand side (again, note the $n$-index shift here compared with the common definition).
This is well-documented in all the three sources provided above (wiki, Wolfram, OEIS), in addition to the often-cited 1949 paper by H.L. Krall that is somewhat friendly to all levels of readers. In particular, one should check out Eq.(21) for the recurrence relations and Eq.(25) in the paper for the generating function (or the section in wiki, or Eq.(11) in Wolfram) that states exactly the identity of the posted question.
$endgroup$
add a comment |
$begingroup$
For convenience, denote the left hand side as a real-valued function of $s$ where $t$ is a parameter:
$$g(s) equiv expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)$$
Compare the MacLaurin series (Taylor expansion at $s = 0$) of $g$ with the target right hand side
$$g(s) = sum_{n=0}^{infty} g^{(n)}(0) frac{ s^n }{n!} qquad text{v.s.} qquad sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}$$
one sees that the objective is to show $g^{(n)}(0) = -m_n~,$ where $g^{(n)}(0) = dfrac{d^ng(s)}{ds^n} Bigg|_{s=0}$ is the $n$-th derivative evaluated at zero.
Let's manually compute the first few terms of $g^{(n)}(s)$ for general $s$ (before evaluated at $s = 0$) to examine the pattern of the functional form. Use the shorthand $g equiv g(s)$ for the zero-th order at $n = 0$.
begin{align}
g'(s) &= frac{-g}{ sqrt{1 + 2vs} } \
g''(s) &= frac{ g }{ 1 + 2vs } left( 1 + frac{ v }{ sqrt{1 + 2vs} } right) \
g'''(s) &= frac{ -g }{ (1 + 2vs)^{3/2} } left( 1 + frac{ 3v }{ sqrt{1 + 2vs} }+ frac{ 3v^2 }{ 1 + 2vs } right) \
g^{(4)}(s) &= frac{ g }{ (1 + 2vs)^2 } left( 1 + color{blue}{ frac{ 6v }{ sqrt{1 + 2vs} } } + color{blue}{ frac{ 15v^2 }{ 1 + 2vs } } + frac{ 15v^3 }{ (1 + 2vs)^{3/2} }right) \
g^{(5)}(s) &= frac{ -g }{ (1 + 2vs)^{5/2} } left( 1 + frac{ 10v }{ sqrt{1 + 2vs} } + color{magenta}{ frac{ 45v^2 }{ 1 + 2vs } } + frac{ 105v^3 }{ (1 + 2vs)^{3/2} } + frac{ 105v^4 }{ (1 + 2vs)^2 } right)
end{align}
No trick was used (nor needed) in the calculation above. Just be patient and carry out each step. The point is that through this process one obtains a concrete sense of how one order $g^{(n-1)}(s)$ yields the next order $g^{(n)}(s)$.
If you have actually done the differentiation above, you should find it reasonable to conjecture that
$$g^{(n)}(s) = (-1)^n frac{g}{ (1 + 2vs)^{n/2} } sum_{k = 0}^{n-1} frac{ v^k cdot A_{n,k} }{ (1 + 2vs)^{k/2} } tag*{Eq.(1a)} $$
where $A_{n,k}$ are the constant coefficients that satisfy the following recurrence relation
$$A_{n,k} = A_{n-1,k} + (n+k-2) A_{n-1,k-1} tag*{Eq.(1b)}$$
accompanied by the initial and boundary conditions
$$begin{aligned}
A_{n,0} &= 1 & A_{n,n} &= 0 & forall~ n &geq 0
end{aligned} tag*{Eq.(1c)}$$
For example, at $n = 5$ and $k = 2$ the magenta $color{magenta}{45}$ comes from the $n = 4$ blue $color{blue}{6}$ and $color{blue}{15}~$, as in $45 = 15 + (n+k-2)cdot 6 = 15 + 5 cdot 6$
$$begin{array}{c|ccccccccc}
& k = 0 & 1 & 2 & 3 & 4 & 5 & 6 & 7 \ hline
n = 1 & 1 & color{gray}{0} & \
n = 2 & 1 & 1 & color{gray}{0} \
n = 3 & 1 & 3 & 3 & color{gray}{0} \
n = 4 & 1 & color{blue}{6} & color{blue}{15} & 15 & color{gray}{0} \
n = 5 & 1 & 10 & color{magenta}{45} & 105 & 105 & color{gray}{0} & \
n = 6 & 1 & 15 & 105 & 420 & 945 & 945 & color{gray}{0} \
n = 7 & 1 & 21 & 210 & 1260 & 4725 & 10395 & 10395 & color{gray}{0} \
end{array}$$
The proof of this "conjecture" $text{Eq}.(1)$ by induction is literally summarizing/repeating what happens in the chain rule during the differentiation:
$A_{n,k}$ is the coefficient of $displaystyle frac{ g cdot v^k }{ (1 + 2vs)^{(n+k)/2} }$, which from order $n - 1$ can only come from two places:
begin{align}
text{one:}& & &frac{ v^k }{ (1 + 2vs)^{( n - 1 + k )/2} } cdot frac{d}{ds} g & &because g' = frac{-g}{ sqrt{1 + 2vs} } \
text{two:}& & & g cdot frac{d}{ds} frac{ v^{k-1} }{ (1 + 2vs)^{(n - 1 + k - 1)/2} } & &because left( frac1{ (1 + 2vs)^{(n - 1 + k - 1)/2} } right)' = frac{ (n+k-2) cdot v }{ (1 + 2vs)^{(n + k )/2} }
end{align}
The minus sign is easy so was omitted in the above, and the recurrence holds trivially for the initial $n = 1$ to $n = 2$ for all their relevant $k$.$quad Q.E.D$
The recurrence relation Eq.($1$b) or its equivalent alternate expression (that defines the "triangle" displayed above) is well-studied and known as the coefficients of the Bessel polynomial (for those who don't like wiki, see e.g. Wolfram MathWorld).
In the OEIS (Online Encyclopedia of Integer Sequences) it is listed as A001498, where one can find and related formulae and various combinatorial interpretations. Note: the index $n$ differs from here by one in OEIS.
Besides close connections to the several famous polynomials from ODE, Bessel polynomial is also related to: matchings of the complete graph, enumeration of unordered forests composed of ordered rooted trees, and the differential operator $D equiv frac1{t} frac{d}{dt}$.
In particular, the recurrence relation corresponds to a general formula that is exactly $m_n$, the moments on the right hand side (again, note the $n$-index shift here compared with the common definition).
This is well-documented in all the three sources provided above (wiki, Wolfram, OEIS), in addition to the often-cited 1949 paper by H.L. Krall that is somewhat friendly to all levels of readers. In particular, one should check out Eq.(21) for the recurrence relations and Eq.(25) in the paper for the generating function (or the section in wiki, or Eq.(11) in Wolfram) that states exactly the identity of the posted question.
$endgroup$
For convenience, denote the left hand side as a real-valued function of $s$ where $t$ is a parameter:
$$g(s) equiv expleft({-frac{sqrt{1+ 2 v s}-1}{ v}}right)$$
Compare the MacLaurin series (Taylor expansion at $s = 0$) of $g$ with the target right hand side
$$g(s) = sum_{n=0}^{infty} g^{(n)}(0) frac{ s^n }{n!} qquad text{v.s.} qquad sum _{n=0}^{infty } m_nfrac{(-s)^n}{n!}$$
one sees that the objective is to show $g^{(n)}(0) = -m_n~,$ where $g^{(n)}(0) = dfrac{d^ng(s)}{ds^n} Bigg|_{s=0}$ is the $n$-th derivative evaluated at zero.
Let's manually compute the first few terms of $g^{(n)}(s)$ for general $s$ (before evaluated at $s = 0$) to examine the pattern of the functional form. Use the shorthand $g equiv g(s)$ for the zero-th order at $n = 0$.
begin{align}
g'(s) &= frac{-g}{ sqrt{1 + 2vs} } \
g''(s) &= frac{ g }{ 1 + 2vs } left( 1 + frac{ v }{ sqrt{1 + 2vs} } right) \
g'''(s) &= frac{ -g }{ (1 + 2vs)^{3/2} } left( 1 + frac{ 3v }{ sqrt{1 + 2vs} }+ frac{ 3v^2 }{ 1 + 2vs } right) \
g^{(4)}(s) &= frac{ g }{ (1 + 2vs)^2 } left( 1 + color{blue}{ frac{ 6v }{ sqrt{1 + 2vs} } } + color{blue}{ frac{ 15v^2 }{ 1 + 2vs } } + frac{ 15v^3 }{ (1 + 2vs)^{3/2} }right) \
g^{(5)}(s) &= frac{ -g }{ (1 + 2vs)^{5/2} } left( 1 + frac{ 10v }{ sqrt{1 + 2vs} } + color{magenta}{ frac{ 45v^2 }{ 1 + 2vs } } + frac{ 105v^3 }{ (1 + 2vs)^{3/2} } + frac{ 105v^4 }{ (1 + 2vs)^2 } right)
end{align}
No trick was used (nor needed) in the calculation above. Just be patient and carry out each step. The point is that through this process one obtains a concrete sense of how one order $g^{(n-1)}(s)$ yields the next order $g^{(n)}(s)$.
If you have actually done the differentiation above, you should find it reasonable to conjecture that
$$g^{(n)}(s) = (-1)^n frac{g}{ (1 + 2vs)^{n/2} } sum_{k = 0}^{n-1} frac{ v^k cdot A_{n,k} }{ (1 + 2vs)^{k/2} } tag*{Eq.(1a)} $$
where $A_{n,k}$ are the constant coefficients that satisfy the following recurrence relation
$$A_{n,k} = A_{n-1,k} + (n+k-2) A_{n-1,k-1} tag*{Eq.(1b)}$$
accompanied by the initial and boundary conditions
$$begin{aligned}
A_{n,0} &= 1 & A_{n,n} &= 0 & forall~ n &geq 0
end{aligned} tag*{Eq.(1c)}$$
For example, at $n = 5$ and $k = 2$ the magenta $color{magenta}{45}$ comes from the $n = 4$ blue $color{blue}{6}$ and $color{blue}{15}~$, as in $45 = 15 + (n+k-2)cdot 6 = 15 + 5 cdot 6$
$$begin{array}{c|ccccccccc}
& k = 0 & 1 & 2 & 3 & 4 & 5 & 6 & 7 \ hline
n = 1 & 1 & color{gray}{0} & \
n = 2 & 1 & 1 & color{gray}{0} \
n = 3 & 1 & 3 & 3 & color{gray}{0} \
n = 4 & 1 & color{blue}{6} & color{blue}{15} & 15 & color{gray}{0} \
n = 5 & 1 & 10 & color{magenta}{45} & 105 & 105 & color{gray}{0} & \
n = 6 & 1 & 15 & 105 & 420 & 945 & 945 & color{gray}{0} \
n = 7 & 1 & 21 & 210 & 1260 & 4725 & 10395 & 10395 & color{gray}{0} \
end{array}$$
The proof of this "conjecture" $text{Eq}.(1)$ by induction is literally summarizing/repeating what happens in the chain rule during the differentiation:
$A_{n,k}$ is the coefficient of $displaystyle frac{ g cdot v^k }{ (1 + 2vs)^{(n+k)/2} }$, which from order $n - 1$ can only come from two places:
begin{align}
text{one:}& & &frac{ v^k }{ (1 + 2vs)^{( n - 1 + k )/2} } cdot frac{d}{ds} g & &because g' = frac{-g}{ sqrt{1 + 2vs} } \
text{two:}& & & g cdot frac{d}{ds} frac{ v^{k-1} }{ (1 + 2vs)^{(n - 1 + k - 1)/2} } & &because left( frac1{ (1 + 2vs)^{(n - 1 + k - 1)/2} } right)' = frac{ (n+k-2) cdot v }{ (1 + 2vs)^{(n + k )/2} }
end{align}
The minus sign is easy so was omitted in the above, and the recurrence holds trivially for the initial $n = 1$ to $n = 2$ for all their relevant $k$.$quad Q.E.D$
The recurrence relation Eq.($1$b) or its equivalent alternate expression (that defines the "triangle" displayed above) is well-studied and known as the coefficients of the Bessel polynomial (for those who don't like wiki, see e.g. Wolfram MathWorld).
In the OEIS (Online Encyclopedia of Integer Sequences) it is listed as A001498, where one can find and related formulae and various combinatorial interpretations. Note: the index $n$ differs from here by one in OEIS.
Besides close connections to the several famous polynomials from ODE, Bessel polynomial is also related to: matchings of the complete graph, enumeration of unordered forests composed of ordered rooted trees, and the differential operator $D equiv frac1{t} frac{d}{dt}$.
In particular, the recurrence relation corresponds to a general formula that is exactly $m_n$, the moments on the right hand side (again, note the $n$-index shift here compared with the common definition).
This is well-documented in all the three sources provided above (wiki, Wolfram, OEIS), in addition to the often-cited 1949 paper by H.L. Krall that is somewhat friendly to all levels of readers. In particular, one should check out Eq.(21) for the recurrence relations and Eq.(25) in the paper for the generating function (or the section in wiki, or Eq.(11) in Wolfram) that states exactly the identity of the posted question.
edited Feb 21 at 21:09
answered Feb 21 at 21:01
Lee David Chung LinLee David Chung Lin
4,38031242
4,38031242
add a comment |
add a comment |
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3086670%2fa-summation-from-the-inverse-gaussian-distribution%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
$begingroup$
Unless you already recognize the double sum on the right hand side (Bessel polynomial, closely related to modified Bessel function of the 2nd kind), I'm afraid a sensible derivation can only start from the left hand side. If you are still interested in such a solution (after looking it up in wiki etc), please let me know.
$endgroup$
– Lee David Chung Lin
Feb 20 at 14:21
$begingroup$
Yes,could you please pass me more details? Appreciate.
$endgroup$
– gouwangzhangdong
Feb 21 at 13:58