[Statlist] Séminaire de statistique vendredi 16 décembre 2011

[ISTAT Messagerie]

SEMINAIRE DE STATISTIQUE

Institut de Statistique, Université de Neuchâtel, Pierre-à-Mazel 7, 2000 Neuchâtel- http://www2.unine.ch/statistics  

VENDREDI 16 DECEMBRE 2011 à 11h00, salle PAM 110, 1er étage.

Rudolf Riedi,
University of Applied Sciences of Western Switzerland School of Engineering and Architecture Fribourg Department of Telecommunications 

Abstract :Tail Estimation and Modelling of Scaling Behavior

Using a wavelet analysis of the characteristic function we develop a non-parametric estimator of the tail index of a distribution. We demonstrate its accuracy in comparison with classical tail estimators and show applications to the modelling of scaling behavior via self-similar processes and multiplicative cascades.