【人大论坛09-08-04】有关重尾布的知识

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谁知道有关重尾布的知识？比如说他的种类，相应的分布函数，与图形。谢谢呀！有哪本中文的书介绍的各种分布（包括厚尾的也包括非厚尾的）比较全？希望大
家帮我推荐一下

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tid=512816&page=1&fromuid=1137443

这个问题好大。

这里是维基百科上列的单边和双边的重尾分布。单边的对数正态很常用，可惜尾不够"重"，Pareto、Levy和Weibull在银行的风险管理部门都
见过有用。双边的学生分布在外汇和股票价格分析上也很常见。

Those that are one-tailed include:

*the Pareto distribution;
*the Log-normal distribution;
*the Lévy distribution;
*the Weibull distributionwith shape parameter less than 1;
*the [url=/wiki/Burr_distribution]Burr distribution[/url];
*the [url=/w/index.php?title=Log-
gamma_distribution&action=edit&redlink=1]Log-gamma distribution[/url].
Those that are two-tailed include:

*The [url=/wiki/Cauchy_distribution]Cauchy distribution[/url], itself
a special case of both the stable distribution and the t-distribution;
*The family of [url=/wiki/Stable_distributions]stable distributions[/
url],[url=#cite_note-5][6][/url] excepting the special case of the
normal distribution within that family. Some stable distributions are
one-sided (or supported by a half-line), see e.g. [url=/wiki/L
%C3%A9vy_distribution]Lévy distribution[/url];
*The [url=/wiki/T-distribution]t-distribution[/url].
*The skew lognormal cascade distribution.[url=#cite_note-6][7][/url]

本文来自: 人大经济论坛
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tid=512816&page=1&fromuid=1137443