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Black swans or dragon-kings? A simple test for deviations from the power law

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Abstract

We develop a simple test for deviations from power law tails. Actually, from the tails of any distribution. We use this test – which is based on the asymptotic properties of the empirical distribution function – to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon-kings or ‘only’ as black swans.

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Correspondence to R. Weron.

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Matlab codes for testing for deviations from power law (ci_powertails.m) or Weibull tails (ci_weibulltails.m) are available for download from the HSC Software/IDEAS repository (http://ideas.repec.org/s/wuu/hscode.html).

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Janczura, J., Weron, R. Black swans or dragon-kings? A simple test for deviations from the power law. Eur. Phys. J. Spec. Top. 205, 79–93 (2012). https://doi.org/10.1140/epjst/e2012-01563-9

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  • DOI: https://doi.org/10.1140/epjst/e2012-01563-9

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