Speaker: Vladimir Panov, Associate Professor of Statistics and Data Analysis, HSE University (Zoom Talk)
Title: Mellin Transform Techniques for Statistical Inference
Abstract: My talk is devoted to the application of the Mellin transform techniques to various statistical problems arising in the context of the mixture models. For the variance-mean mixtures, I will present a new semiparametric approach based on the properties of the superposition of Mellin and Laplace transforms. Later, we will show an adaptation of this method to more complicated model of moving average Levy processes, which is closely related to a wide (and rather popular) class of models known as the ambit fields. Also we will present some new theoretical facts concerning the Mellin transform (e.g., the analogue of the Berry-Esseen inequality), which yield some fresh ideas for the statistical estimation in the classical model of multiplicative mixtures.