Positive-Part Moments via the Fourier-Laplace Transform

被引：10

作者：

Pinelis, Iosif ^{[1
]}

机构：

[1] Michigan Technol Univ, Dept Math Sci, Houghton, MI 49931 USA

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2011年 / 24卷 / 02期

基金：

美国国家科学基金会;

关键词：

Positive-part moments; Characteristic functions; Fourier transforms; Fourier-Laplace transforms; Integral representations; INEQUALITY;

D O I：

10.1007/s10959-010-0276-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：409 / 421

页数：13

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