Positive-part moments via the Fourier-Laplace transform

Details Positive-part moments via the Fourier-Laplace transform Positive-part moments via the Fourier-Laplace transform

2009-02-24

arxiv.org/abs/0902.4214v2

Mathematics

Probability

Accepted for publication in Journal of Theoretical Probability, with Proposition 2.6 downgraded to Example 1. A couple of poss

Scientific paper

Integral expressions for positive-part moments E X_+^p (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.

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