A bootstrap method to test for the existence of finite moments

Igor Fedotenkov

Journal of Nonparametric Statistics, 2013, vol. 25, issue 2, 315-322

Abstract: This paper presents a simple bootstrap test to verify the existence of finite moments. The efficacy of the test relies on the fact that in the absence of a first moment and under certain general conditions, the arithmetic average of a sample grows at a rate greater than the growth rates of the arithmetic averages of the sub-samples. Firstly, we show test consistency analytically. Then, Monte-Carlo simulations are performed to compare our test with the Hill estimator.

Date: 2013
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DOI: 10.1080/10485252.2012.752487

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