3 ms·
If you think a continuous unbounded distribution is more fat-tailed than the normal distribution, you can fit a Student's t distribution with the degrees of fre
by Bostonian 3y ago
If you think a continuous unbounded distribution is more fat-tailed than the normal distribution, you can fit a Student's t distribution with the degrees of freedom (as well as location and scale) a free parameter. What insights does EVT give you that fitting fitting a fat-tailed distribution does not?
- klysm 3y agoThat covers a very narrow subset of use cases where you have something that’s normal-ish and you want hand-wavy fatter tails. EVT theory extends to more general cases