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

DOI10.1098/rspa.2020.0610zbMath1472.60030OpenAlexW3114330926WikidataQ104757129 ScholiaQ104757129MaRDI QIDQ5161220

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

Publication date: 29 October 2021

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7776978

zbMATH Keywords

correlationregular variationkurtosisstable lawregressionheavy tailstatisticsapplied mathematics

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Extreme value theory; extremal stochastic processes (60G70)

Related Items (6)

Asymptotic analysis of generalized Greenwood statistics for very heavy tails ⋮ Taylor's law for some infinitely divisible probability distributions from population models ⋮ A Dynamic Taylor’s law ⋮ Cauchy, normal and correlations versus heavy tails ⋮ Time series estimation of the dynamic effects of disaster-type shocks ⋮ Unnamed Item

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