Classification of Probability Laws by Tail Behavior
本文细化了Parzen基于密度分位数尾部指数的概率分布分类，将中尾类进一步分为中短、中中、中长三类，并从随机样本极端间距的极限大小角度给出了短尾、中尾和长尾分布的物理解释。
Abstract In this article I refine Parzen's density-quantile tail exponent classification of probability laws by tail behavior by subdividing his medium-tailed class into medium-short, medium-medium, and medium-long. I give a physical interpretation of short-, medium-, and long-tailed distributions in terms of the limiting size of the extreme spacings in a random sample from the distribution. I show that this classification, by the limiting size of extreme spacings, fits nicely within the framework of my refinement of Parzen's density-quantile classification.