I read numerous websites including wikipedia on heavy and light tail distributions. However, I am not quite understanding the distinction between the two. In some sources, it notes that light tail distribution has uniform distribution while heavy tail has a larger distribution. Hence, I am led to believe that heavy tail distributions are just distributions with greater variance than light tailed distributions. Are there more nuances to this understanding? Can someone elaborate on this concept?
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This link may be useful http://math.stackexchange.com/questions/1964688/tail-of-probability-distribution/1987240#1987240 – Lella Nov 13 '16 at 09:02
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2The accepted answer here: Which has the heavier tail lognormal or gamma? explores the issue and explains what makes one tail heavier than another. – Glen_b Nov 13 '16 at 10:25
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1See also https://stats.stackexchange.com/questions/285014/difference-between-long-tail-and-short-tail-distribution – kjetil b halvorsen Oct 19 '18 at 21:33
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Thanks @kjetil--I added that to the list of duplicates at the top of this page. – whuber Oct 19 '18 at 23:11