Black swans or dragon kings? A simple test for deviations from the power law

Abstract (via Janczura & Weron)

We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon kings or ‘only’ as black swans.

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04. March 2011 by Miguel Barbosa
Categories: Curated Readings, Risk & Uncertainty | Leave a comment

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