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

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

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.

• Item Type: MPRA Paper
• 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

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