| Characterizations on Heavy—tailed Distributions by Means of Hazard Rate |
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| 作者姓名： | ChunSu Qi-heTang |
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| 作者单位： | [1]DepartmentofStatisticsandFinance,UniversityofScienceandTechnologyofChina,Hefei230026,China [2]DepartmentofQuantitativeEconomics,UniversityofAmesterdam,Roetersstraat11,1018WBAmsterdam,Netherland |
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| 基金项目： | Supported by the National Natural Science Foundation of China (No.10071081) & Special Foundation of USTC. |
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| 摘 要： | Let F(x) be a distribution function supp0orted on0,∞),with an equilibrium distribution function Fe(x).In this paper we shall study the function re(x)=(-in -↑Fe(x))′=-↑Fe(x)/∫x^∞-↑Fe(u)du,which is called the equilibrium hazard rate of F.By the limiting behavior of re(x) we give a criterion to identify F to be heavy-tailed or light-tailed.Two broad classes of heavy-tailed distributions are also introduced and strdied.↑
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| 关 键 词： | 特征 粗尾分布 均值 故障率 指数矩 长尾分布 优势尾分布 子函数分布 相容改变分布 |
Characterizations on Heavy-tailed Distributions by Means of Hazard Rate |
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| ChunSu Qi-heTang.Characterizations on Heavy-tailed Distributions by Means of Hazard Rate[J].Acta Mathematicae Applicatae Sinica,2003,19(1):135-142. |
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| Authors: | Email author" target="_blank">Chun?SuEmail author Qi-he?Tang |
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| Institution: | (1) Department of Statistics and Finance, University of Science and Technology of China, Hefei 230026, China (E-mail: suchun@ustc.edu.cn, CN;(2) Department of Quantitative Economics, University of Amsterdam, Roetersstraat 11, 1018 WB Amsterdam, Netherland (E-mail: q.tang@uva.nl), NL |
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| Abstract: | |
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| Keywords: | Equilibrium distribution Hazard rate heavy-tailed distribution |
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