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A graphical diagnostic for heavy tailed data

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  • John P. Nolan

Abstract

Graphical diagnostics are described for general heavy tailed data. This tool allows for a model free assessment of the tails of a univariate dataset a transform on the tails of the data. In addition, one can add to the basic plots comparisons of a dataset to multiple models. Multivariate extensions are described using an ordering based on distance from a center.

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  • John P. Nolan, 2020. "A graphical diagnostic for heavy tailed data," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(6), pages 1080-1091, November.
    • Handle: RePEc:wly:apsmbi:v:36:y:2020:i:6:p:1080-1091
    DOI: 10.1002/asmb.2590
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