具体描述
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.
用户评价
##只看里面的漫画
评分##只看里面的漫画
评分##只看里面的漫画
评分精彩绝伦！感谢公众号 SerendipityCamp的读书笔记！
评分##其实他提到的小概率大赔付的理念，与复杂性科学的很多结论是完全一致的。混沌世界保持随机的特征，但是小概率大赔付的涌现改变着每个人的命运。他的策略是永远与这类事件做朋友。正是涌现改变着这个世界，不是吗？！
评分##只看里面的漫画
评分##其实他提到的小概率大赔付的理念，与复杂性科学的很多结论是完全一致的。混沌世界保持随机的特征，但是小概率大赔付的涌现改变着每个人的命运。他的策略是永远与这类事件做朋友。正是涌现改变着这个世界，不是吗？！
评分##只看里面的漫画
评分##只看里面的漫画
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