Rudolf Riedi

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


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.