Entropic Plots for Tail Type Classification

04/26/2022

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by   Jialin Zhang, et al.

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This article proposes a non-parametric tail classifier to aid tail classification among discrete thick-tail distributions. Theoretical results in this article show that certain distributional tail types can be identified among a sequence of plots based on the tail profile. Such distributional tails include power, sub-exponential, near-exponential, and exponential or thinner decaying tails. The proposed method does not hypothesize the distribution parameters values for classification. The method can be used practically as a preliminary tool to narrow down possible parametric models for refined statistical analysis with the unbiased estimators of the tail profile. Besides, simulation studies suggest that the proposed classification method performs well under various situations.