Positive-Part Moments via the Fourier-Laplace Transform
Document Type
Article
Publication Date
6-2011
Department
Department of Mathematical Sciences
Abstract
Integral expressions for positive-part moments E Xp+ (p> 0) of random variables X are presented, in terms of the Fourier-Laplace or Fourier transforms of the distribution of X. A necessary and sufficient condition for the validity of such an expression is given. This study was motivated by extremal problems in probability and statistics, where one needs to evaluate such positive-part moments.
Publication Title
Journal of Theoretical Probability
Recommended Citation
Pinelis, I.
(2011).
Positive-Part Moments via the Fourier-Laplace Transform.
Journal of Theoretical Probability,
24(2), 409-421.
http://doi.org/10.1007/s10959-010-0276-9
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p/4965
