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Remarks on the relation between fractional moments and fractional derivatives of characteristic functions

Published online by Cambridge University Press:  14 July 2016

G. Laue
G. Laue*
Affiliation:
Karl-Marx-Universität, Leipzig
*
∗Postal address: Karl-Marx-Universität, Sektion Mathematik, 701 Leipzig, Karl-Marx-Platz, DDR-German Democratic Republic.
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Abstract

We consider fractional derivatives of characteristic functions. We use these fractional derivatives for the formulation of new conditions for the existence of non-integer moments. We also compare the known conditions for the existence of moments of arbitrary random variables with our new conditions. As a consequence many conditions can be written in a unified terminology.

Keywords

CHARACTERISTIC FUNCTIONSMOMENTSFRACTIONAL DERIVATIVES
Type
Research Papers
Information
Journal of Applied Probability , Volume 17 , Issue 2 , June 1980 , pp. 456 - 466
Copyright
Copyright © Applied Probability Trust 1980 

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References

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