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Is there a way to construct a p.m.f. $f(X)$ that has an expected value $E(X)=\infty$ and $Pr(X=1)=0.5$?

For example, if you have $n$ boxes and $X$ measures the number of objects in each box, how would you find a function as described above? Is there a way?

Perhaps $f$ would have a heavy-tailed distribution?

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    Beat me to that. Just about to make the same comment on p.d.f. vs p.m.f..2012-12-14

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Suppose we have infinite many boxes $B_1,B_2,B_3,\dots$, and $B_n$ is chosen with probability $1/2^n$, say. Then put $1$ ball in $B_1$, and $2^n$ balls in the other $B_n$'s.

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    Reminds me of the [St Petersburg paradox](http://en.wikipedia.org/wiki/St._Petersburg_paradox).2012-12-14