Heavy tail distribution - Weibull [closed]
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Closed 11 years ag开发者_如何学Goo.
Improve this questionI know that the Weibull distribution exhibits subexponential heavy-tailed behavior when the shape parameter is < 1. I need to demonstrate this using the limit definition of a heavy tailed distribution:
for all
How do I incorporate the cumulative distribution function (CDF) or any other equation characteristic of the Weibull distribution to prove that this limit holds?
The CDF of the Weibull distribution is 1 - exp(-(x/lambda)^k) = P(X <= x)
.
So
P(X > x) = 1 - CDF = exp(-(x/lambda)^k),
and
lim exp(lambda * x) * P(X > x) = lim exp(lambda x) * exp( - (x/lambda)^k)
= lim exp(lambda x - x^k/lambda^k)
Since k<1
, and x is large, and lambda>0
, lambda x
grows large faster than x^k/lambda^k
(the monomial with the greater exponent wins). In other words, the lambda x
term dominates the x^k/lambda^k
term. So lambda x - x^k/lambda^k
is large and positive.
Thus, the limit goes to infinity.
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