How do you determine if an empirical distribution has a heavy tail? What would I have to do in order to determine that? I'm currently using mathematica, so if you know of any coding, that would be very helpful. If not, then that's alright.
How do I determine Heavy Tails on an empirical distribution?
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statistics
probability-distributions
1 Answers
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One way to do this is to plot the survival or reliability function of the empirical data on log-log scale. If the resulting graph appears "approximately linear", then one can say that it is likely that heavy-tailed properties may be present. There is a "ton" of literature on this topic. Here is a link to some common techniques... http://onlinelibrary.wiley.com/doi/10.1002/9780470723609.ch1/summary