/

Extreme events: blending PCA and ICA [5]

Go to: Summary | Previous | Next   
Bullet points include: There are various ways of visualising fat tails in a single return distribution. Easiest to see in format (c) below. By ‘fat tail’ we mean probability of extreme-sized outcomes (returns / movements / events) seems to be higher than if coming from a (log) Normal distribution. Example probability density function, Example cumulative probability distribution plot. Example quantile-quantile plot. Normal distribution. Example fat-tailed distribution

NAVIGATION LINKS
Contents | Prev | Next | Library


Desktop view | Switch to Mobile