Fat-Tailed Distributions Data, Diagnostics, and Dependence英文精品课件.pdfVIP

R March 2011; revised September 20 1 1  RFF DP 1 1- 19- REV E P A Fat-Tailed Distributions: P Data, Diagnostics, N and Dependence O I S S Roger M. Cook e and Da an Nie boer, w ith U J olanta Mi siew icz C S I 1616 P St. NW Washington, DC 20036 D 202-328-5000 Resources for the Future Department of Mathematics, Delft University of Technology Fat-Tailed Distributions: Data, Diagnostics and Dependence Roger M. Cooke and Daan Nieboer with a chapter by Jolanta Misiewicz September 2011 2 This monograph is written for the numerate nonspecialist, and hopes to serve three purposes. First it gathers mathematical material from diverse but related fields of order statistics, records, extreme value theory, majorization, regular variation and subexponentiality. All of these are relevant for understanding fat tails, but they are not, to our knowledge, brought together in a single source for the target readership. Proofs that give insight are included, but for most fussy calculations the reader is referred to the excellent sources referenced in the text. Multivariate extremes are not treated. This allows us to present material spread over hundreds of pages in specialist texts in twenty pages. Chapter 5 develops new material on heavy tail diagnostics and gives more mathematical detail. Since variances and covariances may not exist for heavy tailed joint distributions, Chapter 6 reviews dependence concepts for certain classes of heavy tailed joint distributions, with a view to regressing heavy tailed variables. Second, it presents a new measure