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DTSTART;VALUE=DATE:20120228T171500
DTEND;VALUE=DATE:20120228T171500
UID:5642@agenda.unifr.ch
DESCRIPTION:Using a wavelet analysis we relate the regularity\nof the characteristic function to the tail of its\ndistribution function and, thus, to the existence\nof moments. Exploiting properties of the Fourier\ntransform we derive a simple non-parametric\nestimator of the tail index.\nA background in basic analysis is sufficient to\nfollow the arguments. If time permits we\ndemonstrate the accuracy of the estimator in\ncomparison with classical tail estimators.
SUMMARY:Rudolf Riedi (EIA Fribourg): Characteristic functions and diverging moments
CATEGORIES:Colloque / Congrès / Forum
LOCATION:PER 08\, Phys 2.52\, Chemin du Musée 3\, 1700 Fribourg
URL;VALUE=URI:https://agenda.unifr.ch/e/fr/5642
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