English

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