Emanuele Taufer (University of Trento)

Event Date: 

Wednesday, April 27, 2016 -
3:30am to 5:00am

Event Date Details: 

refreshments served at 3:15 p.m.

Event Location: 

  • Sobel Seminar Room; South Hall 5607F
  • Department Seminar Series

Speaker:

Emanuele Taufer (University of Trento)

Title:

Goodness-of-fit tests for multivariate stable distributions based on the empirical characteristic function

Abstract:

We consider goodness-of-fit testing for multivariate stable distributions. The proposed test statistics exploit a characterizing property of the characteristic function of these distributions and are affine invariant and consistent under some conditions. The asymptotic distribution is derived under the null hypothesis as well as under local and fixed alternatives. Conditions for an asymptotic null distribution free of parameters are provided. Affine invariance of the test statistics and computational issues are discussed in detail. Simulations show that with proper choice of the user parameters involved, the new tests lead to powerful omnibus procedures for the problem at hand. Joint work with Simos Meintanis and Joseph Ngatchou-Wandji.