Positive-part moments via the characteristic functions, and more general expressions

Iosif Pinelis

Published 2016-03-23Version 1

A unifying and generalizing approach to representations of the positive-part and absolute moments $\mathsf{E} X_+^p$ and $\mathsf{E}|X|^p$ of a random variable $X$ for real $p$ in terms of the characteristic function (c.f.) of $X$, as well as to related representations of the c.f.\ of $X_+$, generalized moments $\mathsf{E} X_+^p e^{iuX}$, truncated moments, and the distribution function is provided. Existing and new representations of these kinds are all shown to stem from a single basic representation. Computational aspects of these representations are addressed.