Testing for tail-heaviness

Stochastics Seminar
Thursday, December 8, 2011 - 3:05pm
1 hour (actually 50 minutes)
skyles 006
Department of Statistics, Rice University
We review various classifications of probability distributions based on their tail heaviness. Using a characterization of medium-tailed distributions we propose a test for testing the null hypothesis of medium-tail vs long- or short-tailed distributions. Some operating characteristics of the proposed test are discussed.