Browser doesn't support javascript
Statistical Consequences of Fat Tails

Statistical Consequences of Fat Tails

2020 . Mathematics, Probability & Statistics, Mathematical Analysis . Nassim Nicholas Taleb

image 10.0

1 total

image4.3/5

119 total

Rate
Done
Save
Nope
Statistical Consequences of Fat Tails
😎 Sign up for free and track all your movies, TV shows and books in one place Download our app and track
everything in one place

About the book

image4.3/5.0

The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions requires more than "changing the color of the dress." Traditional asymptotics deal mainly with either n=1 or n=∞, and the real world is in between, under the "laws of the medium numbers"-which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence. A few examples: - The sample mean is rarely in line with the population mean, with effect on "naïve empiricism," but can be sometimes be estimated via parametric methods. - The "empirical distribution" is rarely empirical. - Parameter uncertainty has compounding effects on statistical metrics. - Dimension reduction (principal components) fails. - Inequality estimators (Gini or quantile contributions) are not additive and produce wrong results. - Many "biases" found in psychology become entirely rational under more sophisticated probability distributions. - Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions. This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.

Year:

2020

Language:

English

Publisher:

Scribe Media

Pages:

446

ISBN:

1544508050 (ISBN13: 9781544508054)

Similar books you haven’t read

Freakonomics Rev Ed
The Visual Display of Quantitative Information
How to Lie with Statistics
The Selfish Gene
Seven Husbands of Evelyn Hugo
Antifragile

Reviews

No reviews for this book yet

To see the full list
download our app

friendspire logoDownload Nowpayment-wall