TITLE: What is the expectation of a random variable raised to the $n$th power?
QUESTION [5 upvotes]: If $Y=X^n$, with $n$ and the expectation and variance of $X$ known, what is the expectation and variance of $Y$?

REPLY [3 votes]: To give this an answer, as Stefan Hansen comments:

Knowing the expectation and variance of X is not enough information to know the moments of all orders.

As an explicit example, let $X$ be normally distributed with mean zero and variance 1, and let $W$ be +1 or -1 with probability 1/2 (the Rademacher distribution).  Then $EX = EW = 0$ and $E X^2 = E W^2 = 1$, but $E X^4 = 3$ while $E W^4 = 1$.
In the special case of the normal distribution, the distribution of a normal random variable are completely determined by its mean and variance, hence so are its higher moments.  You can find various formulas for those moments on Wikipedia.