Moment Generating Function of Gaussian Distribution/Examples

Examples of Use of Moment Generating Function of Gaussian Distribution

Let $X \sim N \paren {\mu, \sigma^2}$ for some $\mu \in \R, \sigma \in \R_{> 0}$, where $N$ is the Gaussian distribution.

First Moment

The first moment generating function of $X$ is given by:

$\map { {M_X}'} t = \paren {\mu + \sigma^2 t} \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2}$

Second Moment

The second moment generating function of $X$ is given by:

$\map { {M_X}} t = \paren {\sigma^2 + \paren {\mu + \sigma^2 t}^2 } \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2}$

Third Moment

The third moment generating function of $X$ is given by:

$\map { {M_X}} t = \paren {3 \sigma^2 \paren {\mu + \sigma^2 t} + \paren {\mu + \sigma^2 t}^3} \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2}$

Fourth Moment

The fourth moment generating function of $X$ is given by:

$\map { {M_X}^{\paren 4} } t = \paren {3 \sigma^4 + 6 \sigma^2 \paren {\mu + \sigma^2 t}^2 + \paren {\mu + \sigma^2 t}^4} \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2}$