A bootstrap method to test for the existence of finite moments

DOI10.1080/10485252.2012.752487zbMath1297.62096OpenAlexW1965600785MaRDI QIDQ5299879

Igor Fedotenkov

Publication date: 24 June 2013

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2012.752487

zbMATH Keywords

consistencyMonte Carlo simulationsmoment existencesub-samplingbootstrap test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Parametric hypothesis testing (62F03) Statistics of extreme values; tail inference (62G32) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

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Cites Work

• Averages of Hill estimators
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• A simple general approach to inference about the tail of a distribution
• Subsampling the distribution of diverging statistics with applications to finance
• Comparison of tail index estimators
• Smoothing the Hill Estimator
• THE STRONG LAW OF LARGE NUMBERS WHEN THE FIRST MOMENT DOES NOT EXIST
• Using a bootstrap method to choose the sample fraction in tail index estimation

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