finity (Q138543)
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Test for Finiteness of Moments in a Distribution
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | finity |
Test for Finiteness of Moments in a Distribution |
Statements
20 December 2023
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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>.
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expanded from: GPL (≥ 2) (English)
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Julian Winkler
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