Positive-part moments via the Fourier-Laplace transform

DOI10.1007/S10959-010-0276-9zbMATH Open1221.60022arXiv0902.4214OpenAlexW2165598638MaRDI QIDQ548153FDOQ548153

Authors: Iosif Pinelis 

Publication date: 28 June 2011

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: Integral expressions for positive-part moments 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.

Full work available at URL: https://arxiv.org/abs/0902.4214

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zbMATH Keywords

characteristic functionsFourier transformsintegral representationsFourier-Laplace transformspositive-part moments

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Lacunary series of trigonometric and other functions; Riesz products (42A55) Probabilistic methods for one variable harmonic analysis (42A61)

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Cited In (9)

• Positive-part moments via characteristic functions, and more general expressions
• Exact Rosenthal-type bounds
• Positive-part moments via the Fourier-Laplace transform
• Truncated fractional moments of stable laws
• Characteristic function of the positive part of a random variable and related results, with applications
• Partial positive scaling transform: a separability criterion
• Inference from small and big data sets with error rates
• Contrast between populations versus spread within populations
• Fractional absolute moments of heavy tailed distributions

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