Burnecki K, Wylomanska A, Chechkin A. Discriminating between Light- and Heavy-Tailed Distributions with Limit Theorem.
PLoS One 2015;
10:e0145604. [PMID:
26698863 PMCID:
PMC4689533 DOI:
10.1371/journal.pone.0145604]
[Citation(s) in RCA: 24] [Impact Index Per Article: 2.7] [Reference Citation Analysis] [Abstract] [MESH Headings] [Track Full Text] [Download PDF] [Figures] [Journal Information] [Subscribe] [Scholar Register] [Received: 04/17/2015] [Accepted: 12/06/2015] [Indexed: 11/19/2022] Open
Abstract
In this paper we propose an algorithm to distinguish between light- and heavy-tailed probability laws underlying random datasets. The idea of the algorithm, which is visual and easy to implement, is to check whether the underlying law belongs to the domain of attraction of the Gaussian or non-Gaussian stable distribution by examining its rate of convergence. The method allows to discriminate between stable and various non-stable distributions. The test allows to differentiate between distributions, which appear the same according to standard Kolmogorov–Smirnov test. In particular, it helps to distinguish between stable and Student’s t probability laws as well as between the stable and tempered stable, the cases which are considered in the literature as very cumbersome. Finally, we illustrate the procedure on plasma data to identify cases with so-called L-H transition.
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