Moment Generating Function of Gaussian Distribution/Examples/Second Moment

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.

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

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

Proof

We have:

\(\ds \map { {M_X}} t\)

\(=\)

\(\ds \frac \d {\d t} \paren {\paren {\mu + \sigma^2 t} \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2} }\)

Moment Generating Function of Gaussian Distribution: First Moment

\(\ds \)

\(=\)

\(\ds \sigma^2 \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2} + \paren {\mu + \sigma^2 t}^2 \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2}\)

Chain Rule for Derivatives, Derivative of Power, Derivative of Exponential Function, Product Rule for Derivatives

\(\ds \)

\(=\)

\(\ds \paren {\sigma^2 + \paren {\mu + \sigma^2 t}^2 } \map \exp {\mu t + \dfrac 1 2 \sigma^2 t^2}\)

simplifying

$\blacksquare$