Thursday, 1 November 2007

pr.probability - Is there any random variable which has unbounded fourth moment?

More generally, given p>1, take any bounded function on mathbbR which behaves like 1/|x|p as xtoinfty, for example 1/(1+|x|p). After renormalizing, this is will be the density of a random variable which has finite absolute qth moments for 0leq<p1, and infinite qth moments for qgep1.

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