Moment Generating Function-MGF

Last updated Dec 4, 2021 Edit Source

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• Math statistics

Tags: #Math/Statistics

• This article covers it all. Moment Generating Function Explained | by Aerin Kim | Towards Data Science

• The moments are the expected values of $X$, e.g., $E(X), E(X^2), E(X^3)$, … etc.

• what is Moment Generating Function (MGF)? As its name hints, MGF is literally the function that generates the moments — E(X), E(X²), E(X³), … , E(X^n).

• $M_{X}(t)=\mathbb{E}\left(e^{t X}\right)$

• 从MGF得到相应的Moment只需要取导数