[javascript] What is the purpose of a self executing function in javascript?

Is there a parameter and the "Bunch of code" returns a function?

var a = function(x) { return function() { document.write(x); } }(something);

Closure. The value of something gets used by the function assigned to a. something could have some varying value (for loop) and every time a has a new function.

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What is the purpose of a self executing function in javascript?