Moment Generating Function Tutorial

We generally use moments in statistics, machine learning, mathematics, and other fields to describe the characteristics of a distribution. Let's say the variable of our interest is X then, moments are X's expected values. Now we are very familiar with the first moment(mean) and the second moment(variance). The third moment is called skewness, and the fourth moment is known as kurtosis. The third moment measures the asymmetry of distribution while the fourth moment measures how heavy the tail values are.