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      A New Information Theoretical Concept: Information-Weighted Heavy-tailed Distributions

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          Abstract

          Given an arbitrary continuous probability density function, it is introduced a conjugated probability density, which is defined through the Shannon information associated with its cumulative distribution function. These new densities are computed from a number of standard distributions, including uniform, normal, exponential, Pareto, logistic, Kumaraswamy, Rayleigh, Cauchy, Weibull, and Maxwell-Boltzmann. The case of joint information-weighted probability distribution is assessed. An additive property is derived in the case of independent variables. One-sided and two-sided information-weighting are considered. The asymptotic behavior of the tail of the new distributions is examined. It is proved that all probability densities proposed here define heavy-tailed distributions. It is shown that the weighting of distributions regularly varying with extreme-value index \(\alpha > 0\) still results in a regular variation distribution with the same index. This approach can be particularly valuable in applications where the tails of the distribution play a major role.

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          Journal
          1601.06412

          Probability,Statistics theory
          Probability, Statistics theory

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