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Results tagged with heavy-tailed
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user 428614
Heavy-tailed distributions have tails that are not exponentially bounded (eg, log-normal & Pareto [heavy right tail], & t [both]). For general questions about fat tails, use the [kurtosis] tag.
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How can I measure Monte Carlo convergence in distribution with heavy tails?
I'm performing a Monte Carlo study on a simple agent based simulation, and I'm trying to formulate a heuristic for the number of MC samples to use. I'm able to measure convergence of statistics like m …
