| An Exploratory Statistical Analysis: Mean Excess Plots |
| Written by theoretic |
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The reader might be surprised about the rather arbitrary way in which we discriminated heavy-tailed distributions from light-tailed ones. There are, however, some very good theoretical reasons for the extraordinary role of the exponential distribution as a benchmark distribution, as will be explained in this section. One tool in order to compare the thickness of the tails of distributions on [0, oo) is the mean excess function. |