From subexponential distributions to black swan dominance
Physics and Society
2022-11-28 v1 Statistical Mechanics
Data Analysis, Statistics and Probability
Abstract
The shape of empirical distributions with heavy tails is a recurrent matter of debate. There are claims of a power laws and the associated scale invariance. There are plenty of challengers as well, the lognormal and stretched exponential among others. Here I point out that, with regard to summation invariance, all what matters is they are subexponential distributions. I provide numerical examples highlighting the key properties of subexponential distributions. The summation invariance and the black swan dominance: the sum is dominated by the maximum. Finally, I illustrate the use of these properties to tackle problems in random networks, infectious dynamics and project delays.
Keywords
Cite
@article{arxiv.2211.14069,
title = {From subexponential distributions to black swan dominance},
author = {Alexei Vazquez},
journal= {arXiv preprint arXiv:2211.14069},
year = {2022}
}
Comments
6 pages, 3 figures