Say we have $X \sim N(0,1)$. I was wondering how we can use Stein's Lemma to derive the moments of the r.v. $X$ by calculating the first few moments.
How would you summarize it in the form $EX^n$ if the moments we calculated end up being quite different in form? Or are they?
So what I've tried to do so far is that I used the formula:
And from there, I tried to see if I can make any substitutions but I don't think you can. Furthermore, I really don't see how you can even calculate moments from this thing. From class, I think you have to use Taylor expansion but I really don't see how you can get to that here either. I really need some help on this.