finity

Authors Torsten Heinrich, Julian Winkler

Last update 20 December 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.1.4.1, 0.1.2, 0.1.3, 0.1.4, 0.1.5

The purpose of this package is to tests whether a given moment of the distribution of a given sample is finite or not. For heavy-tailed distributions with tail exponent b, only moments of order smaller than b are finite. Tail exponent and heavy- tailedness are notoriously difficult to ascertain. But the finiteness of moments (including fractional moments) can be tested directly. This package does that following the test suggested by Trapani (2016) <doi:10.1016/j.jeconom.2015.08.006>.

Cites work

Testing for (in)finite moments

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