> So here’s my radical proposal: instead of mindlessly fitting a theoretical distribution onto your data, use the real data. We have computers now, and they are

> So here’s my radical proposal: instead of mindlessly fitting a theoretical distribution onto your data, use the real data. We have computers now, and they are really good at performing the same operation over and over – exploit that. Resample from the data you have! Hmm. The problem with fat-tailed distributions is that often the real data doesn't actually show you how fat-tailed the distribution is. The author notes this later, but doesn't discuss the difficulty it creates for the suggestion of "using the real data": > In other words, a heavy-tailed distribution will generate a lot of central values and look like a perfect bell curve for a long time … until it doesn’t anymore. Annoyingly, the worse the tail events, the longer it will keep looking like a friendly bell curve. This is all true, but the author misses the immediate corollary: the worse the tail events, the longer using the real data will mislead you into thinking the tails are fine. Using the real data doesn't solve the fat tails problem; in fact, resampling from the real data is sampling from a bounded distribution with zero tails.