Existence of joint moments of stable random variables

Let X1, X2,..., Xn be jointly [alpha]-stable random variables, 0 < [alpha] < 2, and let p1, p2,..., pn be non-negative numbers. We give a necessary and sufficient condition for E X1 p1 ... Xn pn to be finite.

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Year of publication:	1990
Authors:	Samorodnitsky, Gennady ; Taqqu, Murad S.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 10.1990, 2, p. 167-172
Publisher:	Elsevier
Keywords:	Stable random vectors stable distribution moments n-fold dependence maximal subsets

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254699