Timeline for Why is the Cauchy Distribution so useful?
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
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| Nov 4, 2023 at 21:44 | comment | added | ivo Welch | Noone reasonable in finance believes financial returns follow a Cauchy with its infinite variance, but most believe that they are more fat-tailed than a normal. It is a typical assumption that they follow a Student-t with a positive df. | |
| Aug 11, 2019 at 17:49 | history | made wiki | Post Made Community Wiki by whuber♦ | ||
| Aug 11, 2019 at 2:55 | history | edited | Ben | CC BY-SA 4.0 |
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| Jul 8, 2019 at 23:36 | comment | added | Ben | Without seeing the context of what you're talking about, what you ask is unclear. May I suggest that you pose this as a new question on this site, with all the relevant context given. | |
| Jul 8, 2019 at 22:41 | comment | added | Daria | Could you explain what the precision means in the plain English? I mean, I do get that it’s inverse of variance, but I seek understanding why if we talk about priors, we get n0 in the denominator - the prior sample size. | |
| Jul 8, 2019 at 22:02 | comment | added | Ben | In this kind of general discussion, we do not have a specific tail property in mind, so precision in specifying the meaning of "fatness" or "heaviness" of the tails detracts from the generality. It is worth reviewing some characterisations of fat-tailed distributions and heavy-tailed distributions to see the kind of properties I have in mind. | |
| Jul 8, 2019 at 16:20 | comment | added | 0xFEE1DEAD | en.wikipedia.org/wiki/… | |
| Jul 8, 2019 at 14:39 | vote | accept | Daria | ||
| Jul 8, 2019 at 14:39 | comment | added | Daria | Thank you, I highly appreciate your answer as I am familiar with the book. By the way, I am not sure if I understand this part of your sentence correctly " fatness of tails in error terms". Would you mind being more precise with that? | |
| Jul 8, 2019 at 1:07 | history | answered | Ben | CC BY-SA 4.0 |