A note on the bootstrap method for testing the existence of finite moments

Igor Fedotenkov

Statistica, 2014, vol. 74, issue 4, 447-453

Abstract: This paper discusses a bootstrap-based test, which checks if finite moments exist, and indicates cases of possible misapplication. It notes, that a procedure for finding the smallest power to which observations need to be raised, such that the test rejects a hypothesis that the corresponding moment is finite, works poorly as an estimator of the tail index or moment estimator. This is the case especially for very low- and high-order moments. Several examples of correct usage of the test are also shown. The main result is derived analytically, and a Monte-Carlo experiment is presented.

Keywords: Bootstrap; finite moments; heavy tails; tail index estimator; test (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Working Paper: A note on the bootstrap method for testing the existence of finite moments (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bot:rivsta:v:74:y:2014:i:4:p:447-453

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