Statistical Methods for Data Science
The moment generating function (MGF) is a mathematical tool that provides a way to summarize all the moments of a random variable's probability distribution. It is defined as the expected value of the exponential function of the random variable, specifically given by $M_X(t) = E[e^{tX}]$, where $t$ is a real number and $X$ is the random variable. The MGF is particularly useful because it can help in finding moments like mean and variance, and also serves as a unique identifier for the distribution.
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