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Mokslo publikacijos
2016-02-02

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

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.

 

Keywords: Bootstrap; finite moments; heavy tails; tail index estimator; test.

 

Fedotenkov, I. 2014. A note on the bootstrap method for testing the existence of finite moments In Statistica 74(4):447-453. DOI:10.6092/issn.1973-2201/5504. ISSN 1973-2201. [ACNP; BASE; DOAJ; Google Scholar; EZB; JournalTOCs; PLEIADI; Repec; SUMMONS; Ulrich's; Worldcat].

 

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

 




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