How to Define Mean, Variance, etc., for Heavy-Tailed Distributions: A Fractal-Motivated Approach

Authors

Vladik Kreinovich, The University of Texas at El PasoFollow
Olga Kosheleva, The University of Texas at El PasoFollow

Publication Date

8-2012

Comments

Technical Report: UTEP-CS-12-32

Published in International Journal of Innovative Management, Information & Production (IJIMIP), 2012, Vol. 3, No. 3, pp. 1-9.

Abstract

In many practical situations, we encounter heavy-tailed distributions for which the variance -- and even sometimes the mean -- are infinite. We propose a fractal-motivated approach that enables us to gauge the mean and variance of such distributions.