On the controversy over tailweight of distributions

Authors:
C. C. Heyde;S. G. Kou
Affiliations:
Department of Statistics, Columbia University, New York, NY 10027, USA and Mathematical Sciences Institute, Australian National University, ACT 0200, Australia;Department of Industrial Engineering and Operations Research, Columbia University, New York, NY 10027, USA
Venue:
Operations Research Letters
Year:
2004

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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.