Estimation of x i.e. E(x) = Ʃx.p(x) ... p(x) is probabiltiy of x Now my book defines another function mgf(x) i.e. moment generating function of x which is defined as: - mgf(x) = E(etx) I don't understand why was this function defined. Basically we included etx in our function because then if we differentiate it, we get the E(x) formula back again at t = 0. Why take such pain? I can only see one use where p(x) is such that mgf(x) forms a nice taylor series of some function which can be easily differentiated but other than that I see no use.