Read Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto)

Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto)

Nassim Nicholas Taleb

4.9/5 (28569 ratings)

Description: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 "na�ve 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto). To get started finding Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto), you are right to find our website which has a comprehensive collection of manuals listed.
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ISBN: 1544508050

Description: 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 "na�ve 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.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto). To get started finding Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto), you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto)

Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Technical Incerto)

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