Quantile shape measures for heavy-tailed distributions

Currently, journal papers contain numerous examples of the use of heavy-tailed distributions for applied research on various complex systems. Models of extreme data are usually limited to a small set of distribution shapes that in this field of applied research historically been used. It is possible to increase the composition of the set of probability distributions shapes through comparing the measures of the distribution shapes and choosing the most suitable implementations. The example of a beta distribution of the second kind shown that the lack of definability of the moments of heavy-tailed implementations of the beta family of distributions limits the applicability of the existing classical methods of moments for studying the distributions shapes when are characterized heavy tails. For this reason, the development of new methods for comparing distributions based on quantile shape measures free from the restrictions on the shape parameters remains relevant study the possibility of constructing a space of quantile measures of shapes for comparing distributions with heavy tails. The operation purpose consists in computer research of creation possibility of space of the quantile’s measures for the comparing of distributions property with heavy tails. On the basis of computer simulation there the distributions implementations in measures space of shapes were been shown. Mapping distributions in space only of the parametrical measures of shapes has shown that the imposition of regions for heavy tails distribution made impossible compare the shape of distributions belonging to different type in the space of quantile measures of skewness and kurtosis. It is well known that shape information measures such as entropy and entropy uncertainty interval contain additional information about the shape measure of heavy-tailed distributions. In this paper, a quantile entropy coefficient is proposed as an additional independent measure of shape, which is based on the ratio of entropy and quantile uncertainty intervals. Also estimates of quantile entropy coefficients are obtained for a number of well-known heavy-tailed distributions. The possibility of comparing the distributions shapes with realizations of the beta distribution of the second kind is illustrated by the example of the lognormal distribution and the Pareto distribution. Due to mapping the position of stable distributions in the three-dimensional space of quantile measures of shapes estimate made it possible the shape parameters to of the beta distribution of the second kind, for which shape is closest to the Lévy shape. From the paper material it follows that the display of distributions in the three-dimensional space of quantile measures of the forms of skewness, kurtosis and entropy coefficient significantly expands the possibility of comparing the forms for distributions with heavy tails.

Keywords: quantile measures, heavy-tailed distribution, quantile skewness and counter-kurtosis, quantile entropy coefficient, stable distributions
Citation in English: Polosin V.G. Quantile shape measures for heavy-tailed distributions // Computer Research and Modeling, 2024, vol. 16, no. 5, pp. 1041-1077
Citation in English: Polosin V.G. Quantile shape measures for heavy-tailed distributions // Computer Research and Modeling, 2024, vol. 16, no. 5, pp. 1041-1077
DOI: 10.20537/2076-7633-2024-16-5-1041-1077

 

Supplementary information:

 

Quantile functions of generalized beta distribution of the second kind

Quantile_functions.doc

 

Listing of the program for computer modeling of the position of
realizations of distributions with heavy tails in the space of quantile
measures of asymmetry, counterexcess and entropy coefficients

Listing_of_the_program.doc

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