5 ms·
Not 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.
by stblack 6y ago
Not 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.