Testing for (in)finite moments

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Testing for (in)finite moments

This paper proposes a test to verify whether the th moment of a random variable is finite. We use the fact that, under general assumptions, sample moments either converge to a finite number or diverge to infinity according as the corresponding population moment is finite or not. Building on this, we...

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Bibliographic Details
Main Author:	Trapani, Lorenzo
Format:	Article
Published:	Elsevier 2016
Subjects:	Finite moments; Randomised tests; Chover-type Law of the Iterated Logarithm; Strong Law of Large Numbers
Online Access:	https://eprints.nottingham.ac.uk/46950/

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