Thursday, 1 November 2007

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

More generally, given p>1p>1, take any bounded function on mathbbRmathbbR which behaves like 1/|x|p1/|x|p as xtoinftyxtoinfty, for example 1/(1+|x|p)1/(1+|x|p). After renormalizing, this is will be the density of a random variable which has finite absolute qqth moments for 0leq<p10leq<p1, and infinite qqth moments for qgep1qgep1.

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