Talk:Fat tail
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I believe Fat tail and Heavy tail are the same concept. Heavy tail redirects to Long-range dependency, but this page is more about statistical network simulation than statistical finance.
Fat tail and Heavy Tail are the same concept, however Heavy Tail is more politically correct.
I disagree with the above poster.
1. The article does a good job at explaining in laymans terms the key idea of fat-tails in probability distributions: that extreme events can occur much more frequently than modelling would suggest. It also makes good reference to the origin of the concept in finance theory.
2. Whilst political correctness can be an important issue in relation to some terms (e.g "master-slave" rather than "primary-secondary" etc), I would suggest that the term "fat" is not beyond the realm of correctness. This phenomenon has been known as a fat tail in finance theory for at least thirty years now (since the work of Eugene Fama and Benoit Mandlebrot, if not before) and I don't see the need to post-edit wikipedia to change this term when mainstream academic journals remain quite happy to accept this term.
3. The article on Long Range Dependency is heavily mathematically orientated, and not an appropriate introduction to the concept of "fat tail" events for a layman or casual browser. I would suggest keeping and expanding this entry and including a link to the Long Range Dependency article for those who wish to delve further into the mathematical aspects.
203.192.146.185 02:53, 18 October 2006 (UTC) David Peterson
I also disagree with the suggestion that this topic should be merged with long range dependences. Fat/heavy tails are NOT the same as long range dependence. You can have a sequence of heavy tailed r.v.s that are independent, and thus there is no dependence (long range or short range). You can have light tailed distributions with long range dependence, e.g. an ARIMA model with Gaussian innovations. The most complex case is where you have heavy tails long range dependence. While there can be a connection, the topics are distinct and should have separate entries, with a cross reference.
147.9.55.178 18:51, 2 November 2006 (UTC)John Nolan (jpnolan@american.edu)