finity: Test for Finiteness of Moments in a Distribution

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 heavy- tailedness 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>.

install.packages("finity")

Try the finity package in your browser