This one is a facelift of the skewness and kurtosis lecture, which is now called 'Statistical Moments'. It discusses how more moments than just mean and variance (the first two standard moments) can be used to describe data.
Most importantly, it shows how to use a Jarque Bera test to check for normality at the end. This is a crucial step in many other analyses, especially regression, as many statistical techniques and variance computations assume normality.
All lectures can be found here. https://www.quantopian.com/lectures