Emergence of heavy-tailed skew distributions from the heat equation

ByoungSeon Choi, Hyuk Kang and M.Y. Choi

Physica A: Statistical Mechanics and its Applications, 2017, vol. 470, issue C, 88-93

Abstract: It is well known that the symmetric Gaussian function, called the fundamental solution, serves as the Green’s function of the heat equation. In reality, on the other hand, distribution functions obtained empirically often differ from the Gaussian function. This study presents a new solution of the heat equation, satisfying localized initial conditions like the Gaussian fundamental solution. The new solution corresponds to a hetero-mixture distribution, which generalizes the Gaussian distribution function to a skewed and heavy-tailed distribution, and thus provides a candidate for the empirical distribution functions.

Keywords: Heat equation; Skew distribution; Heavy-tailed distribution; Hetero-mixture distribution (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:470:y:2017:i:c:p:88-93

DOI: 10.1016/j.physa.2016.11.095

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