Rudolf Riedi (EIA Fribourg): Characteristic functions and diverging moments

Academic or specialist Colloquium / Congress / Forum

Using a wavelet analysis we relate the regularity
of the characteristic function to the tail of its
distribution function and, thus, to the existence
of moments. Exploiting properties of the Fourier
transform we derive a simple non-parametric
estimator of the tail index.
A background in basic analysis is sufficient to
follow the arguments. If time permits we
demonstrate the accuracy of the estimator in
comparison with classical tail estimators.

When? 28.02.2012 17:15
Where? PER 08 Phys 2.52
Chemin du Musée 3
1700 Fribourg
Contact Department of Mathematics