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existence of moments
If E[|X|^k] exists, then E[|X|^m], for all m<k exists.Have learnt the proof of this statement long before. Now forget how to prove it. Does anybody still remember or which book/web reference has this proof? Thanks!
existence of moments
QuoteOriginally posted by: ColdKing If E[|X|^k] exists, then E[|X|^m], for all m<k exists.Have learnt the proof of this statement long before. Now forget how to prove it. Does anybody still remember or which book/web reference has this proof? Thanks!You need to check that, for any 1<=n<k, To do that, simply split the integral into two sets, [-1, 1] and R\[-1, 1], and verify it's finite over the two sets.
Last edited by manolom on November 15th, 2011, 11:00 pm, edited 1 time in total.