Mills ratio and tail thickness
Read OriginalThis technical article explains the Mills ratio, defined as the ratio of the complementary cumulative distribution function (CCDF) to the probability density function (PDF). It uses the ratio to analyze and contrast the tail thickness of the Student t distribution and the normal distribution, highlighting that while they may be similar near the center, their asymptotic tail behaviors differ fundamentally. The piece discusses how the Mills ratio increases for fat-tailed distributions and decreases for thin-tailed ones, with the exponential distribution as a boundary case.
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