On the controversy over tailweight of distributions

C. C. Heyde; S. G. Kou

doi:10.1016/j.orl.2003.10.011

On the controversy over tailweight of distributions

C. C. Heyde^*, S. G. Kou

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

56 Citations (Scopus)

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.

Original language	English
Pages (from-to)	399-408
Number of pages	10
Journal	Operations Research Letters
Volume	32
Issue number	5
DOIs	https://doi.org/10.1016/j.orl.2003.10.011
Publication status	Published - Sept 2004

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title = "On the controversy over tailweight of distributions",

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 = "Finance, Hill ratio plots, Insurance risk analysis, Mean excess function, Queueing theory, Tail probability plots",

author = "Heyde, {C. C.} and Kou, {S. G.}",

year = "2004",

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AU - Kou, S. G.

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AB - 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.

KW - Finance

KW - Hill ratio plots

KW - Insurance risk analysis

KW - Mean excess function

KW - Queueing theory

KW - Tail probability plots

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DO - 10.1016/j.orl.2003.10.011

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VL - 32

SP - 399

EP - 408

JO - Operations Research Letters

JF - Operations Research Letters

IS - 5

ER -

On the controversy over tailweight of distributions

Abstract

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