Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications. Nassim Nicholas Taleb

Statistical-Consequences-of-Fat.pdf
ISBN: 9781544508054 | 446 pages | 12 Mb

• Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications
• Nassim Nicholas Taleb
• Page: 446
• Format: pdf, ePub, fb2, mobi
• ISBN: 9781544508054
• Publisher: Nassim Taleb

Download Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications

Ebook download free online Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications

Overview

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.

Links:
Best audiobooks to download The Girls: A Novel 9780812998603 by Emma Cline English version
Downloading books on ipod nano Jackpot by Nic Stone English version 9781984829627 ePub
Télécharger des ebooks google book downloader Mémoires d'un spéculateur
Télécharger des ebooks complets google Virus L.I.V. 3 ou la mort des livres 9782367627076 PDB (Litterature Francaise) par Christian Grenier