![]() That is, if the complementary cumulative distribution of a random variable X can be expressed as Pr ∼ x − α as x → ∞, α > 0. Cauchy distributions are examples of fat-tailed distributions. The most extreme case of a fat tail is given by a distribution whose tail decays like a power law.Ī variety of Cauchy distributions for various location and scale parameters. ![]() The extreme case: a power-law distribution However, fat-tailed distributions also include other slowly-decaying distributions, such as the log-normal. The class of fat-tailed distributions includes those whose tails decay like a power law, which is a common point of reference in their use in the scientific literature. Different research communities favor one or the other largely for historical reasons, and may have differences in the precise definition of either.įat-tailed distributions have been empirically encountered in a variety of areas: physics, earth sciences, economics and political science. In common usage, the terms fat-tailed and heavy-tailed are sometimes synonymous fat-tailed is sometimes also defined as a subset of heavy-tailed. JSTOR ( April 2010) ( Learn how and when to remove this template message)Ī fat-tailed distribution is a probability distribution that exhibits a large skewness or kurtosis, relative to that of either a normal distribution or an exponential distribution.Unsourced material may be challenged and removed.įind sources: "Fat-tailed distribution" – news ![]() Please help improve this article by adding citations to reliable sources. ![]() This article needs additional citations for verification. ![]()
0 Comments
Leave a Reply. |