Pareto moment threshold ($\mathbb{E}[X^q]=\alpha {\beta }^q/(\alpha -q),0\le q<\alpha$)

A Pareto distribution is a proper probability distribution for every $\alpha ,\beta >0$, even when its mean is infinite. To see both facts, integrate the probability density function against $x^q$. For real $q\ge 0$,The improper integral converges exactly when $q-\alpha -1<-1$. At $q=\alpha$ it diverges logarithmically; above that it diverges as a positive power of the upper endpoint. Setting $q=0$ gives one, proving normalization regardless of whether higher moments exist.

Taking $q=1,2$ and using $\mathrm{Var}(X)=\mathbb{E}[X^2]-(\mathbb{E}[X]{)}^2$ when both terms are finite givesFor $0<\alpha \le 1$, the nonnegative random variable has expected value $+\infty$; a centered variance about a finite mean is unavailable. For $1<\alpha \le 2$, the mean is finite and the variance is infinite.^[ref] A finite total probability and a finite expected value answer different questions.

At the chosen minimum $\beta =10$, $\alpha =3$ gives $\mathbb{E}[X]=15$, $\mathbb{E}[X^2]=300$ and variance $300-15^2=75$, but an infinite third moment. At $\alpha =3/2$, the mean is 30 and the variance is infinite; at $\alpha =3/4$, even the mean is infinite, while the median remains the finite number $102^{4/3}\simeq 25.198$. At the boundary $\alpha =2$, the earlier example has mean 20 but infinite variance. A finite sample contains finite values almost surely; that fact cannot establish that the underlying mean or variance is finite.