Talk:Fat tail

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[edit] Proposal: merge Fat Tail with Power Law

I propose to redirect the fat tail article name to the power law article (note that the editors of the power laws article are in the process of producing a dramatically better version that is currently public). The new power-laws article covers both power-law functions and power-law distributions (including distributions with power-law tails), and so information on fat tails would naturally fit as as a subsection of that topic. In fact, it would be nice to have a section there on the relationship between power-tail tails and extreme value theory, if you guys would like to write it.

Paresnah 20:14, 13 March 2007 (UTC)

[edit] Comments from before 13 March 2007

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)

Fat tail has more to do with Kurtosis than with Long Range Dependency.--190.10.30.192 03:03, 22 December 2006 (UTC)

I agree that fat tail and long range dependecy are two completely different topics (and that fat-tail and heavy tail are indeed synonomous) and therefore that it is odd that heavy tail redirects to the page on long-range dependency. What - I believe - has much more merit is merging the Fat tail page with the distinct heavy-tailed distribution page.