Fat Tails

Fat Tails

A fat-tailed distribution is a probability distribution that has the property, along with the heavy-tailed distributions, that they exhibit extremely large skewness or kurtosis. This comparison is often made relative to the ubiquitous normal distribution, which itself is an example of an exceptionally thin tail distribution, or to the exponential distribution. Fat tail distributions have been empirically encountered in a fair number of areas: economics, physics, and earth sciences. Fat tail distributions have power law decay in the tail of the distribution, but do not necessarily follow a power law everywhere.