在概率论中,厚尾即肥尾,肥尾分布(英语:Fat-tailed distribution)是一种概率分布模型。它是一种重尾分布,但是它的偏度或峰度极端的大。与无所不在的正态分布作比较,正态分布属于一种细尾分布,或指数分布。
尖峰厚尾 Leptokurtosis ; leptokurtosis and fat-tail
厚尾性 Fat Tail ; Heavy Tail
尖峰厚尾特征 Thick Tails
厚尾分配 Fat-tailed distributions
厚尾海蛇 thick-tailed sea snake
使用厚尾相依性 fat-tailed dependence
具有尖峰厚尾 Leptokurtosis and Fat-Tail
峰厚尾性 fat tails excess kurtosis
厚尾分布 thick tail distribution ; Heavy-Tailed Distribution
Default intensity and prepayment intensity of Chinese housing mortgage have the characteristic of higher peak and fat tail.
我国的住房抵押贷款的违约强度和提前还款强度具有明显的尖峰厚尾特征。
参考来源 - 住房抵押贷款强度定价模型研究Also, finicial time series, which marginal density distribution have higher excess kurtosis, typically exhibit the feature of heavy tail.
大多数金融时间序列呈现“厚尾”现象,它们的边际分布通常有较大的峰度。
参考来源 - 中国股票市场指数收益的时间序列分析·2,447,543篇论文数据,部分数据来源于NoteExpress
金融学中另一个特别感兴趣的是厚尾替代品。
A particular interest in finance is fat-tailed alternatives.
因此,在厚尾分布条件下金融市场风险管理将更加重要。
As a result, on condition of heavy-tailed distributions, it is more important to manage financial market risk.
对期货价格数据进行统计分析,发现期货价格具有“尖峰厚尾”特性。
Secondly, carrying on the statistical analysis to the forward price data, discovered the future price data has the intense ARCH effect.
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