finity

Test for Finiteness of Moments in a Distribution

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

Description

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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