Heavy-tailed distribution
In probability theory, heavy-tailed distributions are probability distributions whose tails are not exponentially bounded: that is, they have heavier tails than the exponential distribution. In many applications it is the right tail of the distribution that is of interest, but a distribution may have a heavy left tail, or both tails may be heavy.
There are three important subclasses of heavy-tailed distributions: the fat-tailed distributions, the long-tailed distributions and the subexponential distributions. In practice, all commonly used heavy-tailed distributions belong to the subexponential class.
There is still some discrepancy over the use of the term heavy-tailed. There are two other definitions in use. Some authors use the term to refer to those distributions which do not have all their power moments finite; and some others to those distributions that do not have a finite variance. The definition given in this article is the most general in use, and includes all distributions encompassed by the alternative definitions, as well as those distributions such as log-normal that possess all their power moments, yet which are generally acknowledged to be heavy-tailed. (Occasionally, heavy-tailed is used for any distribution that has heavier tails than the normal distribution.)
The distribution of a random variable X with distribution function F is said to have a heavy right tail if
This is also written in terms of the tail distribution function
as
This is equivalent to the statement that the moment generating function of F, MF(t), is infinite for all t > 0.
The definitions of heavy-tailed for left-tailed or two tailed distributions are similar.
The distribution of a random variable X with distribution function F is said to have a long right tail if for all t > 0,
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