I only know 1) $X_n$ converges in distribution to $X$; 2) $X_n$ is bounded by a constant $M$, and 3) $\mathbb{E}[X^2]$ is finite, could I get $\mathbb{E}[X_n^2]$ is finite?
Moreover, if $\mathbb{E}[X^k]$ is finite, could we have $\mathbb{E}[X_n^k]$ is finite?
I know that we CANNOT get $\mathbb{E}[X_n]\rightarrow \mathbb{E}[X]$. But could we get $\mathbb{E}[X_n]$ is finite if $\mathbb{E}[X]$ is finite?
Thank you.
$$E[X_n^k]\leq E[M^k]=M^k<\infty$$