Testing for tail-heaviness
- Series
- Stochastics Seminar
- Time
- Thursday, December 8, 2011 - 15:05 for 1 hour (actually 50 minutes)
- Location
- skyles 006
- Speaker
- Javier Rojo – 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.