Positive-Part Moments via the Fourier–Laplace Transform

Iosif Pinelis ()
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Iosif Pinelis: Michigan Technological University

Journal of Theoretical Probability, 2011, vol. 24, issue 2, 409-421

Abstract: Abstract Integral expressions for positive-part moments $\mathsf{E}\,X_{+}^{p}$ (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.

Keywords: Positive-part moments; Characteristic functions; Fourier transforms; Fourier–Laplace transforms; Integral representations; 60E10; 42A38; 60E07; 60E15; 42A55; 42A61 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10959-010-0276-9

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