A test procedure for detecting super-heavy tails

M.I. Fraga Alves, L.F.M. de Haan, C. Neves

Research output: Contribution to journalArticleScientificpeer-review

14 Citations (Scopus)

Abstract

The aim of this work is to develop a test to distinguish between heavy and super-heavy tailed probability distributions. These classes of distributions are relevant in areas such as telecommunications and insurance risk, among others. By heavy tailed distributions we mean probability distribution functions with polynomially decreasing upper tails (regularly varying tails). The term super-heavy is reserved for right tails decreasing to zero at a slower rate, such as logarithmic, or worse (slowly varying tails). Simulations are presented for several models and an application with telecommunications data is provided.
Original languageEnglish
Pages (from-to)`213-227
JournalJournal of Statistical Planning and Inference
Volume139
Issue number2
Publication statusPublished - 2009

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    Fraga Alves, M. I., de Haan, L. F. M., & Neves, C. (2009). A test procedure for detecting super-heavy tails. Journal of Statistical Planning and Inference, 139(2), `213-227.