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Heavy-Tailed Distributions and Their Properties

SpringerBriefs in Earth Sciences, 2013
We define the heavy-tailed distribution as distribution with infinite mathematical expectation. For such distributions the standard statistical tools—sample mean and sample standard deviation—exhibit a high instability. Some examples illustrating this conclusion are presented.
Rodkin M V, Pisarenko V F, M V Rodkin
exaly   +2 more sources

Heavy-Tailed Distributions

2021
In Sec. 2.3.3 we introduced the idea of heavy-tailed distributions from a purely mathematical point of view, where we considered probability distributions for which the central limit theorem does not apply. The terminology arises because the “tails” of the distribution, that is the parts where the variable |x| → ∞, decrease so slowly that in most cases
openaire   +1 more source

Latest developments on heavy-tailed distributions

Journal of Econometrics, 2013
The recent financial and economic crises have shown the dangers of assuming that the risks are nearly Gaussian distributed. The recent financial and economic crises have shown the dangers of assuming that the risks are nearly Gaussian distributed. In particular, non-causal representations are not identified in the case of Gaussian AR processes.
Paolella, Marc   +3 more
openaire   +3 more sources

Distributions with Heavy Tails in Orlicz Spaces

Journal of Theoretical Probability, 2016
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Konstantinides, Dimitrios G.   +1 more
openaire   +1 more source

Inverse Laplace transform for heavy-tailed distributions

Applied Mathematics and Computation, 2004
Here the Laplace transform inversion on the real line of heavy-tailed (probability) density functions is considered. The method assumes as known a finite set of fractional moments drawn from real values of the Laplace transform by fractional calculus.
Tagliani, Aldo, Y. VELAZQUEZ
openaire   +3 more sources

Appendix: A primer on heavy-tailed distributions

Queueing Systems, 1999
From the footnote: This appendix is to serve as an introduction to the basics of heavy-tailed distributions from the point of view of a queueing theorist. It is not meant to be an introduction to queues nor is it meant to serve as a detailed source of references on either heavy-tailed distributions or queueing results.
openaire   +1 more source

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