Truncated fractional moments of stable laws

DOI10.1016/J.SPL.2018.02.009MaRDI QIDQ1640972zbMATH OpenOpenAlexWikidataFDO

Authors John P. Nolan

Publication date 14 June 2018

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.01210

zbMATH Keywords

fractional momentsstable distributiontruncated moments

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10)

Abstract: Expressions are given for the truncated fractional moments $E{X}_{+}^p$ of a general stable law. These involve families of special functions that arose out of the study of multivariate stable densities and probabilities. As a particular case, an expression is given for $E(X-a{)}_{+}$ when $alpha>1$.

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Cites work

• Fractional absolute moments of heavy tailed distributions
• scientific article; zbMATH DE number 3828921 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
• Intermediate Probability
• Multivariate stable densities as functions of one dimensional projections
• Positive-part moments via the Fourier-Laplace transform
• Stationarity of stable power-GARCH processes.

Cited in

(3)

• Stable distributions and Green's functions for fractional diffusions
• Fractional absolute moments of heavy tailed distributions
• Fractional moments

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