Yesterday I wrote about how to find moments of the normal distribution using Sage. Then GlennF left a comment saying it’s not too hard to work out the moments analytically and outlined a proof. I’ll fill in a few details here.

First, start with a standard normal distribution Z. That is, Z has mean 0 and variance 1. By symmetry, the odd moments of Z are 0. For the even moments, integration by parts shows that E(Z^{2m}) = (2m – 1) E(Z^{2m – 2}). Apply this relation recursively until you get E(Z^{2m}) = (2m – 1)!!. (See this post if you’re unfamiliar with double factorial. Note that (-1)!! is defined to be 1.)

For a general normal random variable X with mean μ and variance σ^{2}, define Z = (X – μ)/σ. Then Z is a standard normal and X = σZ + μ. Apply the binomial theorem and note that the odd terms are zero.

I like your statement of it better than mine. For some reason I can’t explain today, I chose to re-express the double factorial in terms of ordinary factorials. It looks much cleaner *not* doing that, though.

Very nice. Is there an application? I thought that high moments were interesting for theoretical questions, but not really useful when applied to “real” data.

I’ve haven’t had much need for higher moments. But I’ve been working with Edgeworth expansions lately, and higher moments pop up. In this tech report I needed up to 5th moments of a normal. With more terms in my Edgeworth approximations, I’d need higher moments.