A note on the bootstrap method for testing the existence of finite moments
Igor Fedotenkov
MPRA Paper from University Library of Munich, Germany
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 moment; heavy tails; tail index; test. (search for similar items in EconPapers)
JEL-codes: C00 C12 (search for similar items in EconPapers)
Date: 2015-06-16
New Economics Papers: this item is included in nep-ecm and nep-ore
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https://mpra.ub.uni-muenchen.de/66033/1/MPRA_paper_66033.pdf original version (application/pdf)
Related works:
Journal Article: A note on the bootstrap method for testing the existence of finite moments (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:66033
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