Test for Finiteness of Moments in a Distribution.

finity

Package for testing whether a given moment of the distribution of a given sample is finite or not.

Details

For heavy-tailed distributions with tail exponent a, only moments of order < a are finite. The tail index and heavy- tailedness are is 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).

Installing from CRAN

install.packages(finity)

Usage: How to perform the finite moment test

library(stabledist)
library(finity)

# Generate test data
rvs <- rstable(10000000, 1.9, 0.5, 1, 0, pm = 0)

# Perform the test
result <- finite_moment_test(rvs, 2)

Building and installing the package from github

Rscript -e 'setwd("finity");Rcpp::compileAttributes()'
R CMD build finity
R CMD INSTALL finity_0.1.1.tar.gz

In the install command, finity_0.1.1.tar.gz should be replaced with the correct filename of the archive (in particular with the correct version number).

Rcpp::compileAttributes() can also be run from the R interpreter. The shell commands can alternatively be run from the R interpreter as system("R CMD build finity") etc.

Building the pdf manual from the github package

Rscript -e 'setwd("finity");roxygen2::roxygenize();roxygen2::roxygenize()'
R CMD Rd2pdf finity

Alternatively, roxygen2::roxygenize() can be executed twice from the R interpreter before building the pdf with R CMD Rd2pdf finity.

It is important to execute roxygenize() twice since the help files for the individual functions are only created the second time.

Building as an R/CRAN package

Remove the examples directory and follow the steps for building (and installing) and building the pdf manual.