Cauchy, normal and correlations versus heavy tails

DOI10.1016/j.spl.2022.109489zbMath1490.60041arXiv2201.02498OpenAlexW4220838739MaRDI QIDQ2670780

Gennady Samorodnitsky, Joel E. Cohen, Richard A. Davis, Hui Xu

Publication date: 1 June 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.02498

zbMATH Keywords

Brownian motionheavy tailsdependenceCauchy distributionnormal random vectors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Probability distributions: general theory (60E05) Jump processes on general state spaces (60J76)

Cites Work

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• An unexpected encounter with Cauchy and Lévy
• Density of the Ratio of Two Normal Random Variables and Applications
• Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling
• Wald tests of singular hypotheses

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