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On the controversy over tailweight of distributions

Date

Authors

Heyde, C C

Kou, S G

Publisher

Elsevier

Abstract

Although understanding tail behavior of distributions is important in many areas, such as telecommunications network analysis and finance, there is considerable controversy about distinctions between exponential-type and power-type tails. This paper explains why the distinctions are surprisingly difficult for popular methods in the literature, and why particularly large samples are needed for clear discrimination.

Keywords

Keywords: Discriminators; Finance; Laplace transforms; Probability; Queueing theory; Risk assessment; Weibull distribution; World Wide Web; Hill ratio plots; Insurance risk analysis; Mean excess function; Tail probability; Telecommunication networks Finance; Hill ratio plots; Insurance risk analysis; Mean excess function; Queueing theory; Tail probability plots

URI

http://hdl.handle.net/1885/79482

Collections

Open Access Research

Source

Operations Research Letters

Type

Journal article

DOI

10.1016/j.orl.2003.10.011