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I read numerous websites including wikipedia on heavy and light tail distributions. However, I am not quite understanding the distinction between the two. In some sources, it notes that light tail distribution has uniform distribution while heavy tail has a larger distribution. Hence, I am led to believe that heavy tail distributions are just distributions with greater variance than light tailed distributions. Are there more nuances to this understanding? Can someone elaborate on this concept?

kjetil b halvorsen
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Christian
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  • This link may be useful http://math.stackexchange.com/questions/1964688/tail-of-probability-distribution/1987240#1987240 – L.V.Rao Nov 13 '16 at 09:02
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    The accepted answer here: [Which has the heavier tail lognormal or gamma?](http://stats.stackexchange.com/questions/86429/which-has-the-heavier-tail-lognormal-or-gamma) explores the issue and explains what makes one tail heavier than another. – Glen_b Nov 13 '16 at 10:25
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    See also https://stats.stackexchange.com/questions/285014/difference-between-long-tail-and-short-tail-distribution – kjetil b halvorsen Oct 19 '18 at 21:33
  • Thanks @kjetil--I added that to the list of duplicates at the top of this page. – whuber Oct 19 '18 at 23:11

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