Heavy-tailed Rayleigh Distribution: Basic Properties and Their Applications

Zeng-Guo SUN
2009 ACTA AUTOMATICA SINICA  
Heavy-tailed exponential distribution is a direct and necessary extension of the heavy-tailed Rayleigh distribution. First, some basic properties of heavy-tailed exponential distribution are introduced in this paper including the series form of the density function, the heavy-tailed property and the nonexistence of finite variance. Second, ratio estimator, logarithmic moment estimator and iterative logarithmic moment estimator are presented to estimate the parameters of heavy-tailed exponential
more » ... distribution based on negative-order moments. The logarithmic moment estimator with explicit closed form is only determined by samples, and the iterative logarithmic moment estimator achieves better performance only using fewer samples in each step computation. Monte Carlo simulation results demonstrate the high efficiency of the iterative logarithmic moment estimator for heavytailed exponential distribution.
doi:10.3724/sp.j.1004.2008.01067 fatcat:7yiv4mnok5e3rhwj3ugrsimc54