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

Listed author(s):
  • Igor Fedotenkov

    ()

    (Lithuanian Institute of Agrarian Economics, Vilnius - Ltuania)

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.

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File URL: http://rivista-statistica.unibo.it/article/view/5504
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Article provided by Department of Statistics, University of Bologna in its journal STATISTICA.

Volume (Year): 74 (2014)
Issue (Month): 4 ()
Pages: 447-453

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Handle: RePEc:bot:rivsta:v:74:y:2014:i:4:p:447-453
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  1. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
  2. Igor Fedotenkov, 2013. "A bootstrap method to test for the existence of finite moments," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 315-322, June.
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