Heavy Tailed Distribution
Heavy Tailed Distribution（重尾分布）是一系列很常见的分布，有一些特有的性质。
A heavy tailed distribution has a tail that’s heavier than an exponential distribution (Bryson, 1974). In other words, a distribution that is heavy tailed goes to zero slower than one without heavy tails; there will be more bulk under the curve of the PDF. Heavy tailed distributions tend to have many outliers with very high values. The heavier the tail, the larger the probability that you’ll get one or more disproportionate values in a sample.
重尾分布
分布特点：异常值较多，一些样本统计量会倾斜，mean可能非常misleading，被异常值带的很高；sample variance一般会比较大；同时sample mean会低估polulation mean；同时中心极限定理不work。
常见重尾分布
- LogNormal Distribution
- Pareto Distribution
- Zipf Distribution
- Student’s t Distribution
- Cauchy Distribution
看其分布图示，如下两个分别是LogNormal分布和Cauchy分布。
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