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[Origination of Pareto distribution in complex dynamic systems]
Abstract:
The Pareto distribution, whose probability density function can be approximated at sufficiently great chi as rho(chi) - chi(-alpha), where alpha > or = 2, is of crucial importance from both the theoretical and practical point of view. The main reason is its qualitative distinction from the normal (Gaussian) distribution. Namely, the probability of high deviations appears to be significantly higher. The conception of the universal applicability of the Gauss law remains to be widely distributed despite the lack of objective confirmation of this notion in a variety of application areas. The origin of the Pareto distribution in dynamic systems located in the gaussian noise field is considered. A simple one-dimensional model is discussed where the system response in a rather wide interval of the variable can be quite precisely approximated by this distribution.
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