Last updated
2020-08-03T13:37:47.987+01:00
Abstract
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 heavytailedness 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>.
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 heavytailedness 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>.
Symplectic ID
1123389
Download URL
https://cran.r-project.org/web/packages/finity/index.html)
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Publication type
8
Publication date
23 April 2020