Consider a continuous random variable that takes only non-negative values. Let the cumulative distribution function be $F(\cdot)$. Consider the following condition: $$\lim_{x\rightarrow\infty} x(1-F(x))=0.$$ Is it sufficient for the mean to be finite? If not, is there any other sufficient condition for the finite mean? Thank you!
1 Answer
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Recall that $E[X] = \int_0^\infty (1-F(x))\,dx$. So this shows that something like $F(x) = 1-1/(x \log x)$ for large $x$ is a counterexample.
This does however show that $\lim_{x \to \infty} x^p (1-F(x)) = 0$ for some $p>1$ would suffice.