| Characterizations on Heavy—tailed Distributions by Means of Hazard Rate |
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| 引用本文： | ChunSu Qi-heTang. Characterizations on Heavy—tailed Distributions by Means of Hazard Rate[J]. 应用数学学报(英文版), 2003, 19(1): 135-142. DOI: 10.1007/s10255-003-0090-6 |
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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 on[0,∞),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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| Chun?SuEmail author,Qi-he?Tang. Characterizations on Heavy-tailed Distributions by Means of Hazard Rate[J]. Acta Mathematicae Applicatae Sinica, 2003, 19(1): 135-142. DOI: 10.1007/s10255-003-0090-6 |
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| Authors: | Chun?Su author-information" > author-information__contact u-icon-before" > mailto:suchun@ustc.edu.cn" title=" suchun@ustc.edu.cn" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,Qi-he?Tang |
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| Affiliation: | (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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