V2EX stable-distribution

Stable Distribution

释义 Definition

稳定分布(概率论/统计学):一类“加性封闭”的概率分布族如果 \(X\) 和 \(Y\) 独立同分布且都服从某稳定分布,那么它们的和 \(X+Y\)(在适当的线性缩放与平移后)仍属于同一类型的分布。最著名的特例是正态分布(稳定指数 \(\alpha=2\));当 \(\alpha<2\) 时常出现重尾可能无穷方差等性质。
(注:在日常英语里 stable 也可指“稳定的”,但此处是数学术语。)

发音 Pronunciation (IPA)

/stebl dstrbjun/

例句 Examples

A normal distribution is a stable distribution.
正态分布是一种稳定分布。

In finance, some models use a stable distribution to capture heavy-tailed returns that deviate from the normal assumption.
在金融领域,一些模型用稳定分布来刻画偏离正态假设的“重尾”收益率。

词源 Etymology

Stable 源自拉丁语 stabilis(“稳固的”),distribution 源自拉丁语 distributio(“分配、散布”)。在概率论中称为“稳定”,是因为它对“相加”(更严格是对独立同分布随机变量的和)在线性变换下保持同类形态:加起来(再缩放/平移)还是同一类分布。

相关词 Related Words

文学与著作中的用例 Literary/Notable Works

  • An Introduction to Probability Theory and Its Applications William Feller(讨论稳定分布与相关极限定理)
  • Stable Non-Gaussian Random Processes Gennady Samorodnitsky & Murad S. Taqqu(系统论述稳定分布在随机过程中的应用)
  • Stable Distributions: Models for Heavy Tailed Data John P. Nolan(稳定分布的建模与数据分析教材/专著)
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