Statistical consequences of fat tails : real world preasymptotics, epistemology, and applications : papers and commentary / Nassim Nicholas Taleb.

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Bibliographic Details
Main Author: Taleb, Nassim Nicholas, 1960- (Author)
Language:English
Published: [USA?] : STEM Academic Press, [2020]
Series:The Technical incerto
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Genre:
Dissertation Note:
"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" Back cover.
Physical Description:xiv, 441 pages : illustrations.
Format: Thesis Book

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Call Number: QA273.6 .T354 2020
QA273.6 .T354 2020 Available Get this