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<p−10leq<p−1, and infinite qqth moments for qgep−1qgep−1.
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