RARE EVENT MODEL SIMULATION FOR HEAVY TAILED DISTRIBUTION
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Date
2012-11-09
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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.
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Keywords
rare event, skewed distribution, heavy tailed distribution, stable distribution, generalization of negative binomial distributio