TY - JOUR
AU - Fedotenkov, Igor
PY - 2014/01/01
Y2 - 2023/02/06
TI - A note on the bootstrap method for testing the existence of finite moments
JF - Statistica
JA - Stat
VL - 74
IS - 4
SE - Articles
DO - 10.6092/issn.1973-2201/5504
UR - https://rivista-statistica.unibo.it/article/view/5504
SP - 447-453
AB - 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.
ER -