@article{Fedotenkov_2014, title={A note on the bootstrap method for testing the existence of finite moments}, volume={74}, url={https://rivista-statistica.unibo.it/article/view/5504}, DOI={10.6092/issn.1973-2201/5504}, abstractNote={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.}, number={4}, journal={Statistica}, author={Fedotenkov, Igor}, year={2014}, month={Jan.}, pages={447–453} }