On single point forecasts for fat-tailed variables
نویسندگان
چکیده
منابع مشابه
On the Concentration of Large Deviations for Fat Tailed Distributions
For fat tailed distributions (i.e. those that decay slower than an exponential), large deviations not only become relatively likely, but the way in which they are realized changes dramatically: A finite fraction of the whole sample deviation is concentrated on a single variable: large deviations are not the accumulation of many small deviations, but rather they are dominated to a single large f...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2020
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2020.08.008