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We consider the problem of approximating the support size of a distribution from a small number of samples, when each element in the distribution appears with probability at least 1/n. This problem is closely related to the problem of approximating the number of distinct elements in a sequence of length n. For both problems, we prove a nearly linear in n lower bound on the query complexity, applicable even for approximation with additive error. At the heart of the lower bound is a construction of two positive integer random variables. X1 and X2, with very different expectations and the following condition on the first k moments: E[X1]/E[X2] = E[X1 2]/E[X2 2] = ... = E[X1 k]/E[X2 k]. Our lower bound method is also applicable to other problems. In particular, it gives new lower bounds for the sample complexity of (1) approximating the entropy of a distribution and (2) approximating how well a given string is compressed by the Lempel-Ziv scheme.