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Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling

Pillai & Meng (Pillai & Meng 2016 Ann. Stat. 44, 2089–2097; p. 2091) speculated that ‘the dependence among [random variables, rvs] can be overwhelmed by the heaviness of their marginal tails ·· ·’. We give examples of statistical models that support this speculation. While under natural cond...

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Detalles Bibliográficos
Publicado en:Proc Math Phys Eng Sci
Main Authors: Cohen, Joel E., Davis, Richard A., Samorodnitsky, Gennady
Formato: Artigo
Idioma:Inglês
Publicado: The Royal Society Publishing 2020
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Acceso en liña:https://ncbi.nlm.nih.gov/pmc/articles/PMC7776978/
https://ncbi.nlm.nih.gov/pubmed/33408562
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1098/rspa.2020.0610
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