Emergence of heavy-tailed skew distributions from the heat equation

详细信息    查看全文

• 作者：ByoungSeon Choi^a ; ^{bschoi12@snu.ac.kr} ; Hyuk Kang^b ; ^{glorious2076@gamil.com} ; M.Y. Choi^c ; ^{mychoi@snu.ac.kr}
• 关键词：Heat equation ; Skew distribution ; Heavy-tailed distribution ; Hetero-mixture distribution
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：15 March 2017
• 年：2017
• 卷：470
• 期：Complete
• 页码：88-93
• 全文大小：524 K
• 卷排序：470

文摘

We present a hetero-mixture distribution as a new solution of the heat equation. Satisfying localized initial conditions, the new solution is skewed and heavy-tailed. The parameter range corresponding to the heavy tailed zone is clarified. It provides a candidate for the empirical distribution function, e.g., in finance.