Second moment and MGF of a Gaussian
Question
Let . Find and, for a constant , .
Short answer
and . The first is . For the second, complete the square in the Gaussian integral; this is the moment generating function.
Adapted from Joshi, Denson & Downes, Quant Job Interview Questions and Answers, Q3.37, p.84; question and answer rewritten by SelfMadeQuant.com.
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Open the worked solutionLessons behind this question
- The Normal Distribution
- Transforms and Moment Generating Functions
- Sample Spaces, Events, and the Probability Axioms
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