The concept of moment in mathematics evolved from the concept of moment in physics. The nth moment of a real-valued function f(x) of a real variable is
If (lower-case) f is a probability density function, then the value integral above is called the nth moment of the probability distribution. More generally, if (capital) F is a cumulative probability distribution function of any probability distribution, which may not have a density function, then the nth moment of the probability distribution is given by the Riemann-Stieltjes integral
The nth central moment of the probability distribution of a random variable X is
The central momemts are clearly translation-invariant, i.e., the nth central moment of X is the same as that of X + c for any constant c (in this context "constant" means a non-random quantity).
The first moment and the second and third central moments are linear in the sense that
The central moments beyond the third lack this linearity; in that respect they differ from the cumulants (the first three cumulants are the same as the first moment and the second and third central moments; the higher cumulants have a more complicated relationship with the central moments).