Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications (Revised Edition) - Brossura

Taleb, Nassim Nicholas

Brossura

ISBN 13: 9798218248031

Casa editrice: STEM Academic Press, 2023

Riassunto

The monograph 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 of 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 "naive 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.

Dettagli dell'edizione

• Editore: STEM Academic Press
• Data di pubblicazione: 2023
• Lingua: Inglese
• ISBN 13: 9798218248031
• Rilegatura: Copertina flessibile
• Numero di pagine: 473
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile