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From the article: "Both distributions below have standard deviations of 1" I thought fat tailed distributions don't have a variance. But apparently I'm using t
by karl42 13y ago
From the article: "Both distributions below have standard deviations of 1"
I thought fat tailed distributions don't have a variance. But apparently I'm using the term in a stricter sense than other people. See http://en.wikipedia.org/wiki/Fat-tailed_distribution#Definition http://en.wikipedia.org/wiki/Fat-tailed_distribution#Definit... for details if you were wondering, too.
- ltjohnson 13y agoMost statisticians have their own definition of fat-tailed, I like the definition you linked to (polynomial decay), but it is not universally accepted/known. These fat-tailed distributions will have a variance as long as they decay faster than x^(-3).
- aet 13y agoA good example of a fat-tailed distribution that does not have finite variance: http://en.wikipedia.org/wiki/Cauchy_distribution http://en.wikipedia.org/wiki/Cauchy_distribution