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Statistical Consequences of Fat Tails by Nassim Taleb.
by karlmcguire 6y ago
Statistical Consequences of Fat Tails by Nassim Taleb.
- stblack 6y agoNot mentioned, not cited in the paper. That's shocking. Edit: the word "tail" appears nowhere in the paper, in any context. I'm beyond shocked now.
- disgruntledphd2 6y agoBecause this was well known to statisticians long before Taleb talked about it? That would be my suspicion as to why it isn't there.
- FabHK 6y agoQuite plausible. Extreme Value theory [1] appears to have been codified by the 1960s, and one of the main theorems is credited “to Fréchet (1927), Ronald Fisher and Leonard Henry Caleb Tippett (1928), Mises (1936) and Gnedenko (1943)” [2]. ETA: And the second theorem of Extreme Value Analysis is from the mid 1970s. [3] 1. https://en.wikipedia.org/wiki/Extreme_value_theory https://en.wikipedia.org/wiki/Extreme_value_theory 2. https://en.wikipedia.org/wiki/Fisher–Tippett–Gnedenko_theorem https://en.wikipedia.org/wiki/Fisher–Tippett–Gnedenko_theore... 3. https://en.wikipedia.org/wiki/Pickands–Balkema–De_Haan_theorem https://en.wikipedia.org/wiki/Pickands–Balkema–De_Haan_theor...
- bigbillheck 6y agoMy stats training was in the 90s and we absolutely covered leptokurtic things.
- selimthegrim 6y agoThe book by Leadbetter, Lindgren and Rootzen is good too if a bit dated.
- deleted 6y ago[deleted]
- spekcular 6y agoThis is subsumed in the robust estimation section.
- ojnabieoot 6y agoUnsolicited advertising for Taleb’s newest book is really not constructive or helpful, and betrays that you don’t actually know very much about statistics.
- sigstoat 6y agocalling someone's book suggestion an "advertisement" is rude, and inaccurate. taleb wouldn't pay anyone to suggest his book when he could instead just show up here and insult everyone for free.
- ojnabieoot 6y agoI didn’t mean it strictly literally. The original comment was a thoughtless namedrop of a brand new book (which means by tautology it’s irrelevant to the topic at hand) and doesn’t have a shred of reasoning behind it. So, functionally, it’s a billboard advertising Taleb’s book. I am aware that the Cult of Taleb means that people are willing to advertise his work for free.
- spekcular 6y agoI have read this book and want to leave an anti-recommendation here. It's a poorly edited mess and makes at least one blatant mathematical error. More broadly, let me leave a Taleb anti-recommendation. His entire shtick is yelling that traditional statisticians have ignored heavy-tailed random variables in their modeling and that he has special insight into the nature of tail risk (perhaps along with a few select other people, like Mandelbrot). But this is manifestly not the case. In fact, if you go through his Amazon reviews page, you can find him leaving positive reviews several years ago on all the books written by traditional statisticians that he learned about heavy-tailed randomness from!
- sfashset 6y agolink to his Amazon reviews page?
- spekcular 6y agoScroll back to the early 2010s: https://www.amazon.com/gp/profile/amzn1.account.AHMHNR4MRTDLMBOOT6Q7LX2WP5YA/ https://www.amazon.com/gp/profile/amzn1.account.AHMHNR4MRTDL... For a more detailed critique, see Robert Lund, Revenge of the White Swan, The American Statistician Vol. 61, No. 3 (Aug., 2007). Accessible through your favorite Russian website. If you want a better book on heavy-tailed randomness, I like Didier Sornette's Critical Phenomena in Natural Sciences (subtitled Chaos, Fractals, Selforganization and Disorder: Concepts and Tools).
- SkyMarshal 6y agoRevenge of the White Swan also appears available on ResearchGate: https://www.researchgate.net/publication/4741329_Revenge_of_the_White_Swan https://www.researchgate.net/publication/4741329_Revenge_of_...
- jasonwatkinspdx 6y agoTaleb is... not a good source for learning statistics. Start with Wasserman. Taleb says obvious and well known things using his own invented terminology in order to cast himself as some sort of contrarian genius. It's not that he's wrong, it's that the insights he hawks are banal. That's why his readership base are insight porn book junkies not people actually trying to learn statistical methods.
- actusual 6y ago"insight porn books" is going in my "objects you've been searching for titles for" Notion list.
- jasonwatkinspdx 6y agoYeah, I think I first heard it in relation to Malcolm Gladwell and it's just so apt at capturing everything wrong with that category of book. I mean he's a skillful writer, and it's definitely entertaining stuff. But if you flip into critical mode and do comparative research vs authoritative sources, you start seeing how vapid it is really fast.
- disgruntledphd2 6y agoWhen I read Fooled by Randomness I found it useful. Not groundbreaking work, but it drew some nice analogies between statistical distributions and human's over-certainty.
- fhsm 6y agoWould love to see that list or any other on which this choice descriptor finds itself.
- tajd 6y agoIf you do have his books then the reference lists in the back provide a good starting point for further reading.
- stevegalla 6y ago
- alexilliamson 6y agoThis feels only slightly more legitimate than recommending the 538 blog as a statistical authority.