Library / The Fundamentals of Heavy Tails: Properties, Emergence, and Estimation


The best book on the extreme value theory.


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Pareto vs. Gaussian

This means that large values are much more likely to occur under a Pareto distribution than under a Gaussian or Exponential distribution. For example, you are much more likely to meet someone who’s income is 10 times the average than someone whose height is ten times the average.