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Heavy Tailed Distribution: Definition & Examples

Probability Distributions > Heavy Tailed Distribution

What is a Heavy Tailed Distribution?

A heavy tailed distribution tends to have very large values with many outliers (very high values). The heavier the tail, the larger the probability that you’ll get one or more very large values in a sample.

Characteristics of the Heavy Tailed Distribution:
If you take a random sample from the distribution, you’re likely to end up with a sample made up from mostly small values. For example, if you sample from the income of people in the United States, the bulk of your data will be around $50,000. However, one or two values in your sample could be ridiculously large (i.e. outliers); Bill Gates earned over $11 billion in 2013.
These large values tend to skew your sample statistics: the sample variance will probably be very large and the sample mean usually underestimates the population mean. Another couple of quirks with heavy tails:

  1. The Central Limit Theorem doesn’t work.
  2. Some moments don’t exist, so order statistics are used instead.

Heavy Tailed Distributions in the Real World

Many real world situations are heavy tailed, including:

  • The top 1% of the population in the USA owns as much as the bottom 90% (Guardian).
  • File sizes in computers (Columbia).
  • Web page sizes and computer systems’ workloads (Stanford).
  • Insurance Payouts and Financial Returns (Wolfram).

Heavy Tailed Distribution Examples

Weibull distribution.
weibull distribution This family of distributions is used in assessing product reliability to model failure times and life data analysis.

Cauchy distribution.

cauchy distribution

The Cauchy distribution. The purple curve is the standard Cauchy distribution. Image: Skbkekas | Wikimedia Commons.

The Cauchy has fatter tails and a taller peak than a normal distribution. It is widely known for the fact that it’s expected value does not exist.

Log normal distribution.
lognormal distribution function

A few examples of lognormal density functions. Image: By Krishnavedala|Wikimedia Commons

A lognormal (log-normal or Galton) distribution is a probability distribution with a normally distributed logarithm.

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Heavy Tailed Distribution: Definition & Examples was last modified: October 12th, 2017 by Andale

2 thoughts on “Heavy Tailed Distribution: Definition & Examples

  1. Martin

    if the Central Limit Theorem doesn’t work for heavy-tails, how to estimate of the mean heavy-tail dataset from sample mean?

  2. Andale Post author

    As the distribution has a lot of outliers, the mean is not a good estimate. Use a resistant measure of central tendency instead, like the median.