tail behavior

We consider tests of the hypothesis that the tail of size distributions decays faster than any power function. These are based on a single parameter that emerges from the Fisher–Tippett limit theorem, and discriminate between leading laws considered …

In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The …