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- I'm reading An Intermediate Course in Probability by Gut. I am confused about a statement made concerning the generalized gamma distribution and its existence of a moment generating function.
I quote from An Intermediate Course in Probability by Gut:
First, I don't think it is clear that all moments exist. Integrating ##(1)## and making the substitution ##y=x^\alpha##, and rewriting the integral in terms of a gamma integral, I get that ##C=\Gamma(\beta/\alpha)##. The only condition I get is ##\beta/\alpha>0##, so I don't see that the restriction ##\beta>-1## makes sense. I also don't see why ##\alpha<1## would make sense. Does anyone know what the proper bounds should be on ##\alpha## and ##\beta##? In view of my finding that ##\beta/\alpha>0##, I don't see why they both could be negative too.
Second, with the observations made above, does the moment generating function exist?
Another class of distributions that possesses moments of all orders but not a moment generating function is the class of generalized gamma distributions whose densities are $$f(x)=Cx^{\beta-1}e^{-x^{\alpha}},\quad x>0,\tag1$$where ##\beta>-1##, ##0<\alpha<1##, and ##C## is a normalization constant (that is chosen such that the total mass equals ##1##).
It is clear that all moments exist, but, since ##\alpha<1##, we have $$\int_{-\infty}^\infty e^{tx}x^{\beta-1}e^{-x^\alpha}\, dx=\infty\tag2$$ for all ##t>0##, so that the moment generating function does not exist.
First, I don't think it is clear that all moments exist. Integrating ##(1)## and making the substitution ##y=x^\alpha##, and rewriting the integral in terms of a gamma integral, I get that ##C=\Gamma(\beta/\alpha)##. The only condition I get is ##\beta/\alpha>0##, so I don't see that the restriction ##\beta>-1## makes sense. I also don't see why ##\alpha<1## would make sense. Does anyone know what the proper bounds should be on ##\alpha## and ##\beta##? In view of my finding that ##\beta/\alpha>0##, I don't see why they both could be negative too.
Second, with the observations made above, does the moment generating function exist?
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