Abstract
The aim of the paper is to show that the presence of one possible type of outliers is not connected to that of heavy tails of the distribution. In contrary, typical situation for outliers appearance is the case of compactly supported distributions.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
References
S. Borak, A. Misiorek, and R. Weron, Models for Heavy-Tailed Asset Returns, SFB 649 Discussion Paper 2010-049, http://sfb649.wiwi.hu-berlin.de (Humboldt-Universität zu Berlin, Berlin, 2010), pp. 1–40.
H. A. David and H. N. Nagaraja, Order Statistics (Wiley, 2003).
E. Eberlein and U. Keller, Hyperbolic Distributions in Finance (Institut für Mathematische Stochastik, Universität Freiburg, 1995), pp. 1–24.
F. R. Hampel, E. M. Ronchetti, P. J. Rousseeuw, and W. A. Stahel, Robust Statistics, The Approach Based on Influence Functions, (Wiley, New York, Chichester, Brisbane, Toronto, Singapore, 1986).
D. M. Hawkins, Identification of Outliers, Springer-Science+Business Media, B.V. (Springer, 1980).
S. Karlin and W. Studden, Tchebycheff Systems: With Applications in Analysis and Statistics (Interscience Publishers, 1966).
L. B. Klebanov, S. T. Rachev, and F. J. Fabozzi, Robust and Non-Robust Models in Statistics, (Nova Science Publishers, New York, 2009).
L. B. Klebanov and I. Volchenkova, Heavy Tailed Distributions in Finance: Reality or Myth? Amateurs Viewpoint, arXiv 1507.07735v1 (2015), pp. 1–17.
L. B. Klebanov, No Stable Distributions in Finance, Please!, arXiv 1601.00566v2 (2016), pp. 1–9.
L. B. Klebanov, Big Outliers Versus Heavy Tails: What to Use?, arXiv 1611.05410v1 (2016), pp. 1–14.
L. B. Klebanov, G. Temnov, and A. V. Kakosyan, Some Contra-Arguments for the Use of Stable Distributions in Financial Modeling, arXiv 1602.00256v1 (2016), pp. 1–9.
L. B. Klebanov, J. Antoch, A. Karlova, and A. V. Kakosyan, Outliers and Related Problems, arXiv 1701.06642v1 (2017), pp. 1–16.
L. B. Klebanov, A. V. Kakosyan, and A. Karlova, Outliers, the Law of Large Numbers, Index of Stability and Heavy Tails, arXiv 1612.09265v1 (2016), pp. 1–5.
E. Seneta, Regularly Varying Functions (Springer, Berlin—Heidelberg, 1976).
Author information
Authors and Affiliations
Corresponding author
About this article
Cite this article
Klebanov, L., Volchenkova, I. Outliers and the Ostensibly Heavy Tails. Math. Meth. Stat. 28, 74–81 (2019). https://doi.org/10.3103/S106653071901006X
Received:
Published:
Issue Date:
DOI: https://doi.org/10.3103/S106653071901006X