RARE EVENT MODEL SIMULATION FOR HEAVY TAILED DISTRIBUTION

No Thumbnail Available

Date

2012-11-09

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

It is shown that the sum of rare event random variable X„j generated from generalization of negative binomial distribution in the scheme of infinitesimal system of ^ = {{^„y}y=i2 n) converges to a kind of stable distribution with skewed property and heavy tailed. The sum of random variables X„j show a good s h ^ to figure out a rare event phenomenon where most of fail events have high probability concentrated around random variables zero, and the remainders (success events) have veiy low probability to appear.

Description

Keywords

rare event, skewed distribution, heavy tailed distribution, stable distribution, generalization of negative binomial distributio

Citation