Positive-part moments via the Fourier-Laplace transform
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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.
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- Exact Rosenthal-type bounds
- Characteristic function of the positive part of a random variable and related results, with applications
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