Description Usage Arguments Value Examples

Computes Trapani's (2016) finite moment test for moment of order k of the distribution of a given the sample of observations obs. Knowledge of the identity of the distribution is not required. The null hypothesis is that the moment is infinite; the alternative is that it is finite. The function takes parameters of the test as optional arguments; some insights into the impact the choice of parameter values has are given in Trapani (2016).

1 2 3 4 5 6 7 8 9 10 11 | ```
finite_moment_test(
obs,
k,
r = 0L,
psi = 2,
u = 1,
force_random_variate_sample = 0L,
ignore_errors = 0L,
verbose = 0L,
random_salting = 0L
)
``` |

`obs` |
Observations (type: armadillo numeric vector). |

`k` |
Moment order (type: double) |

`r` |
Artificial sample size (type: int). Default is N^0.8. |

`psi` |
Pescaling moment (type: double). Must be <k. Default is 2.0. |

`u` |
Sampling range width for sampling range [-u, u] (type: double) Default is 1.0. |

`force_random_variate_sample` |
If True, draw random variates for xi and u_series. If False, use quantile function values from a regular percentile space grid. This represents the density function better. Defaiult is False. |

`ignore_errors` |
Ignore errors caused by Inf and NaN results for too large absolute moments. If True, it will return test statistic=NA, pvalue=1. If False, it will stop with an error. Default is False. But normally this will indicate an infinite moment. |

`verbose` |
If True, print detailed output for debugging. Default is False. |

`random_salting` |
Salt number to be added to the random seed (type: int). This prevents identical random variate series if multiple instances are started and run in parallel. Default is 0. |

Trapani's Theta test statistic (type: double).

Corresponding p-value (Chi^2(1) percentile) (type: double).

1 2 | ```
rvs <- stabledist::rstable(100000, 1.9, 0.5, 1, 0, pm = 0)
result <- finite_moment_test(rvs, 2)
``` |

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