A fat-tailed distribution is a probability distribution that exhibits a large skewness or kurtosis, relative to that of either a normal distribution or an exponential distribution. In common use, the terms fat-tailed and heavy-tailed are sometimes synonymous, but sometimes the term fat-tailed is instead defined as a proper subset of heavy-tailed.
A fat-tailed distribution is a probability distribution that exhibits a large skewness or kurtosis, relative to that of either a normal distribution or an exponential distribution. In common use, the terms fat-tailed and heavy-tailed are sometimes synonymous, but sometimes the term fat-tailed is instead defined as a proper subset of heavy-tailed.
Source: Wikipedia "Fat-tailed distribution" · CC BY-SA 4.0
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