Original Article
Methods to Distinguish Between Polynomial and Exponential Tails
Abstract
Two methods to distinguish between polynomial and exponential tails are introduced. The methods are based on the properties of the residual coefficient of variation for the exponential and non‐exponential distributions. A graphical method, called a CV‐plot, shows departures from exponentiality in the tails. The plot is applied to the daily log‐returns of exchange rates of US dollar and Japanese yen. New statistics are introduced for testing the exponentiality of tails using multiple thresholds. They give better control of the significance level than previous tests. The powers of the new tests are compared with those of some others for various sample sizes.
Citing Literature
Number of times cited according to CrossRef: 6
- Matteo Fusi, Fabio Mazzocchetti, Albert Farres, Leonidas Kosmidis, Ramon Canal, Francisco J. Cazorla, Jaume Abella, On the Use of Probabilistic Worst-Case Execution Time Estimation for Parallel Applications in High Performance Systems, Mathematics, 10.3390/math8030314, 8, 3, (314), (2020).
- E. V. Morozov, I. V. Peshkova, A. S. Rumyantsev, Far-End-Tail Estimation of Queueing System Performance, Journal of Mathematical Sciences, 10.1007/s10958-020-04857-3, (2020).
- Suzana Milutinovic, Enrico Mezzetti, Jaume Abella, Tullio Vardanega, Francisco J. Cazorla, undefined, 2017 12th IEEE International Symposium on Industrial Embedded Systems (SIES), 10.1109/SIES.2017.7993402, (1-6), (2017).
- Jaume Abella, Maria Padilla, Joan Del Castillo, Francisco J. Cazorla, Measurement-Based Worst-Case Execution Time Estimation Using the Coefficient of Variation, ACM Transactions on Design Automation of Electronic Systems, 10.1145/3065924, 22, 4, (1-29), (2017).
- Søren Asmussen, Jaakko Lehtomaa, Distinguishing Log-Concavity from Heavy Tails, Risks, 10.3390/risks5010010, 5, 1, (10), (2017).
- Joan del Castillo, Isabel Serra, Likelihood inference for generalized Pareto distribution, Computational Statistics & Data Analysis, 10.1016/j.csda.2014.10.014, 83, (116-128), (2015).
