A Formula for the Truncation Length of Power Law Distributions

作     者：Matsushita, Raul Brom, Pedro Vila, Roberto Silva, Sergio Da 

作者机构：Department of Statistics University of Brasilia Brasilia D.F. 70910-900 Brazil Graduate Program in Statistics University of Brasilia Brasilia D.F. 70910-900 Brazil Graduate Program in Business Administration University of Brasilia Brasilia D.F. 70910-900 Brazil Department of Economics Federal University of Santa Catarina Florianopolis S.C. 88049-970 Brazil Graduate Program in Economics Federal University of Santa Catarina Florianopolis S.C. 88049-970 Brazil Graduate Program in Economics Federal University of Espirito Vitoria E.S. Santo29075-910 Brazil 

出 版 物：《SSRN》 

年 卷 期：2023年

核心收录：

摘      要：Determining the truncation length for power law distributions when modeling real-world data is challenging. Only statistical methods are capable of accomplishing this. However, there is a power-law relationship between truncation length and standard deviation. We show how to utilize this formula to model heavy-tailed distributions of the exchange rate between the Brazilian real and the US dollar, euro, and British pound. © 2023, The Authors. All rights reserved.