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On the controversy over tailweight of distributions

Heyde, C C; Kou, S G


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.

CollectionsANU Research Publications
Date published: 2004
Type: Journal article
Source: Operations Research Letters
DOI: 10.1016/j.orl.2003.10.011


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