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Mathlib/Probability/Moments
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lines changed Original file line number Diff line number Diff line change @@ -200,8 +200,7 @@ lemma iteratedDeriv_two_cgf (h : v ∈ interior (integrableExpSet X μ)) :
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= μ[fun ω ↦ (X ω)^2 * exp (v * X ω)] / mgf X μ v - deriv (cgf X μ) v ^ 2 := by
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rw [iteratedDeriv_succ, iteratedDeriv_one]
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by_cases hμ : μ = 0
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- · have : deriv (0 : ℝ → ℝ) = 0 := by ext; exact deriv_const _ 0
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- simp [hμ, this]
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+ · simp [hμ]
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have h_mem : ∀ᶠ y in 𝓝 v, y ∈ interior (integrableExpSet X μ) :=
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isOpen_interior.eventually_mem h
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have h_d_cgf : deriv (cgf X μ) =ᶠ[𝓝 v] fun u ↦ μ[fun ω ↦ X ω * exp (u * X ω)] / mgf X μ u := by
@@ -236,8 +235,7 @@ lemma iteratedDeriv_two_cgf_eq_integral (h : v ∈ interior (integrableExpSet X
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iteratedDeriv 2 (cgf X μ) v
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= μ[fun ω ↦ (X ω - deriv (cgf X μ) v)^2 * exp (v * X ω)] / mgf X μ v := by
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by_cases hμ : μ = 0
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- · have : deriv (0 : ℝ → ℝ) = 0 := by ext; exact deriv_const _ 0
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- simp [hμ, this, iteratedDeriv_succ]
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+ · simp [hμ, iteratedDeriv_succ]
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rw [iteratedDeriv_two_cgf h]
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calc (∫ ω, (X ω) ^ 2 * exp (v * X ω) ∂μ) / mgf X μ v - deriv (cgf X μ) v ^ 2
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_ = (∫ ω, (X ω) ^ 2 * exp (v * X ω) ∂μ - 2 * (∫ ω, X ω * exp (v * X ω) ∂μ) * deriv (cgf X μ) v
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