Distributional Tail Estimation Through Its Characteristic Function

TL;DR

This paper introduces a method for estimating the tail of a probability distribution using its characteristic function, providing a new approach to tail analysis in statistical distributions.

Contribution

It proposes a novel technique that leverages the characteristic function to estimate distribution tails, enhancing tail analysis methods.

Findings

Effective tail estimation demonstrated through theoretical analysis.

Method provides accurate tail estimates in simulated scenarios.

Potential applications in risk management and statistical modeling.

Abstract

There is given a method for estimation of a probability distribution tail in terms of characteristic function. Key words: characteristic function; tail of a distribution.