Autore: Fedotenkov, Igor
Titolo: A note on the bootstrap method for testing the existence of finite moments
Periodico: Statistica
Anno: 2014 - Volume: 74 - Fascicolo: 4 - Pagina iniziale: 447 - Pagina finale: 453

This paper discusses a bootstrap-based test, which checks if nite 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 nite, 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.


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SICI: 0390-590X(2014)74:4<447:ANOTBM>2.0.ZU;2-Q

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