Related papers: Stretched exponentials from superstatistics
I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward,…
It is shown that distributed chaos with spontaneously broken time translational symmetry (homogeneity) has a stretched exponential frequency spectrum $E(f) \propto \exp-(f/f_0)^{1/2}$. Good agreement has been established with a laboratory…
In this paper, we present some geometric properties of the maximum entropy (MaxEnt) Tsallis- distributions under energy constraint. In the case q > 1, these distributions are proved to be marginals of uniform distributions on the sphere; in…
The size distribution of planned and forced outages and following restoration times in power systems have been studied for almost two decades and has drawn great interest as they display heavy tails. Understanding of this phenomenon has…
Superpositions of different statistics on different time or spatial scales (in short, superstatistics) can naturally lead to an effective description by nonextensive statistical mechanics. We first discuss the role of escort distributions…
We report a general technique to study a given experimental time series with superstatistics. Crucial for the applicability of the superstatistics concept is the existence of a parameter $\beta$ that fluctuates on a large time scale as…
Power spectrum of the distributed chaos can be represented by a weighted superposition of the exponential functions which is converged to a stretched exponential $\propto \exp-(k/k_{\beta})^{\beta }$. An asymptotic theory has been developed…
The family of q-Gaussian and q-exponential probability densities fit the statistical behavior of diverse complex self-similar non-equilibrium systems. These distributions, independently of the underlying dynamics, can rigorously be obtained…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
We show that the quotient of Levy processes of jump-diffusion type has a fat-tailed distribution. An application is to price theory in economics. We show that fat tails arise endogenously from modeling of price change based on an excess…
One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…
The superstatistics concept is a useful statistical method to describe inhomogeneous complex systems for which a system parameter $\beta$ fluctuates on a large spatio-temporal scale. In this paper we analyze a measured time series of wind…
We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
Volcanic seismicity at Mt. Etna is studied. It is found that the associated stochastic process exhibits a subdiffusive phenomenon. The jump probability distribution well obeys an exponential law, whereas the waiting-time distribution…
Heavy-tailed fluctuations and power law statistics pervade physics, finance, and economics, yet their origin is often ascribed to systems poised near criticality. Here we show that such behavior can emerge far from instability through a…
We investigate the relaxation of long-tailed distributions under stochastic dynamics that do not support such tails. Linear relaxation is found to be a borderline case in which long tails are exponentially suppressed in time but not…
There is a conception that Boltzmann-Gibbs statistics cannot yield the long tail distribution. This is the justification for the intensive research of nonextensive entropies (i.e. Tsallis entropy and others). Here the error that caused this…
An extension of Maxwell's original prescription for an ideal gas is adopted to derive a broad class of Kappa-type velocity distributions, encompassing both fat and short-tailed forms. Within this general framework, a physically consistent…
The statistical mechanics of a cloud of particles interacting via their gravitational potentials is an old problem which encounters some issues when the traditional Boltzmann-Gibbs statistics is applied. In this article, we consider the…
We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to approximate multivariate heavy tailed distributions. We apply…