compute_absolute_moment

Computes the absolute moment of order k of a sample of observations.

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>.

Torsten Heinrich

finity

Test for Finiteness of Moments in a Distribution

Julian Winkler

compute_absolute_moment function

<dl><dt>obs</dt>
<dd>Observations (type: armadillo numeric vector).</dd>
<dt>k</dt>
<dd>Moment order (type: double)</dd></dl>

Arguments

Absolute Moment of Order k — compute_absolute_moment

<dl>

<dt>obs</dt>
<dd>Observations (type: armadillo numeric vector).</dd>


<dt>k</dt>
<dd>Moment order (type: double)</dd>

</dl>

compute_absolute_moment: Absolute Moment of Order k

Description

Usage

Value

Arguments

Examples