On a conjecture of Seneta on regular variation of truncated moments

Abstract

We prove that h?(x) = ??x0 y??1F?(y)dy is regularly varying with index ? [0, ?) if and only if V?(x) = ?[0,x] y?dF(y) is regularly varying with the same index, where ? > 0, F(x) is a distribution function of a nonnegative random variable, and F?(x) = 1?F(x). This contains at ? = 0, ?= 1 a result of Rogozin [8] on relative stability, and at ? = 0, ? = 2 a new, equivalent characterization of the domain of attraction of the normal law. For ? = 0 and ? > 0 our result implies a recent conjecture by Seneta [9].