Could you explain how to mix normal distributions to create a fat-tail? I am asking because summation of normal distributions will create another normal distribution.. so I wonder how to "mix"
You are right about adding normals: it's an important property (that we use a lot) that a linear combination of normals is itself normal.
But a mixture distribution is a different thing. See: re mixture vs. convolution: http://forum.bionicturtle.com/viewreply/3226/
The normal mixture is a fabulous creature: easy, flexible and automatically fat-tailed
(could you ask for more in a distribution?)
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.