Seminar in applied mathematics and statistics

SPEAKER: Charles Goldie (Univ. Sussex)

TITLE: Exact or Convenient Conditions for a Probability Model

ABSTRACT:
Heavy-tail models are popular and very useful, but does one need to allow the tails of the distributions they use to be any regularly varying functions, or will simple power-law tails suffice? Are moment conditions the right ones to employ for the ARCH-GARCH family of models, or should one use the more general necessary and sufficient condtions for existence? The talk will look at these and other instances of the choice between exactitude and convenience in probability model selection.

Tea and chocolate will be served in room 04.3.15 after the seminar.