For fat tailed distributions, the empirical distributions does not reflect the true statistical properties, particularly for extremes. This is a simplified side note to a paper with Mark Spitznagel on why people make a mistake by looking at raw historical data as “empiricism”.

So I am fed up with academics who say “we know it is fat tails” yet not understand the consequences.

2 Comments
  1. Valeria Sharypova says:

    Hi
    How I can find out about Nassim’s forthcoming talks?

    Thank you

    Valeria

  2. Liz says:

    Surveys seldom produce linear measures from ordinal raw scores that consistently represent more or less of the variable being measured and that remain constant across samples (and similar instruments). There is a body of literature on the use of Rasch measurement theory that are logistic and are imposed upon the data to ensure the data meet requirements of objective measurement. Many studies in social and behavioral sciences cannot be replicated due inaccurate measurements. A contributing factor to fat tails?

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Nassim Taleb’s Probability Moocs: The empirical distribution is … not empirical

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June 12th, 2017

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Academic, MOOCs, Videos

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