Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum X1 + X2 occur as result of a single big jump with heavy tails whereas X1,X2 are...

Well-behaved densities are typically log-convex with heavy tails and log-concave with light ones. We discuss a benchmark for distinguishing between the two cases, based on the observation that large values of a sum X1+X2 occur as result of a single big jump with heavy tails whereas X1,X2 are of...