Positive-part moments via characteristic functions, and more general expressions
Document Type
Article
Publication Date
3-2018
Department
Department of Mathematical Sciences
Abstract
A unifying and generalizing approach to representations of the positive-part and absolute moments EX+p and E| X| p of a random variable X for real p in terms of the characteristic function (c.f.) of X, as well as to related representations of the c.f. of X+, generalized moments EX+peiuX, truncated moments, and the distribution function, is provided. Existing and new representations of these kinds are all shown to stem from a single basic representation. Computational aspects of these representations are addressed.
Publication Title
Journal of Theoretical Probability
Recommended Citation
Pinelis, I.
(2018).
Positive-part moments via characteristic functions, and more general expressions.
Journal of Theoretical Probability,
31(1), 527-555.
http://doi.org/10.1007/s10959-016-0709-1
Retrieved from: https://digitalcommons.mtu.edu/michigantech-p/4966
