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.

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

Posted on

June 12th, 2017

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Academic, MOOCs, Videos

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