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

Authors

  • Igor Fedotenkov Lithuanian Institute of Agrarian Economics, Vilnius

DOI:

https://doi.org/10.6092/issn.1973-2201/5504

Keywords:

Bootstrap, finite moments, heavy tails, tail index estimator, test

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.

References

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Published

2014-12-30

How to Cite

Fedotenkov, I. (2014). A note on the bootstrap method for testing the existence of finite moments. Statistica, 74(4), 447–453. https://doi.org/10.6092/issn.1973-2201/5504

Issue

Vol. 74 No. 4 (2014)

Section

Articles

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