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重尾分布 (查看源代码)

2021年2月26日 (五) 15:56的版本

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→‎Relationship to fat-tailed distributions 与胖尾分布的关系

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*<font color="#ff8000">偏对数正态级联分布 The skew lognormal cascade distribution</font>。<ref>{{cite web | author=Stephen Lihn | title=Skew Lognormal Cascade Distribution | year=2009 | url=http://www.skew-lognormal-cascade-distribution.org/ | access-date=2009-06-12 | archive-url=https://web.archive.org/web/20140407075213/http://www.skew-lognormal-cascade-distribution.org/ | archive-date=2014-04-07 | url-status=dead }}</ref>

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== ~~Relationship to fat-tailed distributions~~ 与胖尾分布的关系 ==

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==与胖尾分布的关系 ==

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A [[fat-tailed distribution]] is a distribution for which the probability density function, for large x, goes to zero as a power <math>x^{-a}</math>. Since such a power is always bounded below by the probability density function of an exponential distribution, fat-tailed distributions are always heavy-tailed. Some distributions, however, have a tail which goes to zero slower than an exponential function (meaning they are heavy-tailed), but faster than a power (meaning they are not fat-tailed). An example is the [[log-normal distribution]] <ref>{{Contradict-inline|article=fat-tailed distribution|reason=Fat-tailed page says log-normals are in fact fat-tailed.|date=June 2019}}</ref>. Many other heavy-tailed distributions such as the [[log-logistic distribution|log-logistic]] and [[Pareto distribution|Pareto]] distribution are, however, also fat-tailed.

胖尾分布是这样的分布，对于较大的x，概率密度函数为<math>x^{-a}</math>趋于零。由于这样的幂总是受到指数分布概率密度函数的限制，因此，胖尾分布始终是重尾分布。但是，某些分布的尾部趋近于零的速率比指数函数慢（表示它们是重尾），而比幂快（表示它们不是胖尾）。例如对数正态分布<ref>{{Contradict-inline|article=fat-tailed distribution|reason=Fat-tailed page says log-normals are in fact fat-tailed.|date=June 2019}}</ref>。当然，许多其他的重尾分布，例如对数逻辑分布和帕累托分布也属于胖尾分布。

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== Estimating the tail-index{{definition|date=January 2018}} 尾指数估计 ==

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