Fedotenkov, Igor (2015): A note on the bootstrap method for testing the existence of finite moments. Forthcoming in: Statistica

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Abstract
This paper discusses a bootstrapbased 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 highorder moments. Several examples of correct usage of the test are also shown. The main result is derived analytically, and a MonteCarlo experiment is presented.
Item Type:  MPRA Paper 

Original Title:  A note on the bootstrap method for testing the existence of finite moments 
Language:  English 
Keywords:  Bootstrap, finite moment, heavy tails, tail index, test. 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C00  General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General 
Item ID:  66033 
Depositing User:  Igor Fedotenkov 
Date Deposited:  13 Aug 2015 09:07 
Last Modified:  27 Sep 2019 09:44 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/66033 