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standard deviation is misleading for non-standard distributions (fat-tailed, skewed, multi-modal, ...) common mistake people make
by memoriyato3 3mo ago
standard deviation is misleading for non-standard distributions (fat-tailed, skewed, multi-modal, ...)
common mistake people make
- FabHK 3mo agoNot really. It's still the standard deviation, and it still gives you bounds on probability, for example the Chebyshev inequality: P(|X-\mu| > k \sigma) < 1/k^2. So, while for a normal RV, 5% of observations lie outside +/- 1.96 std.devs, for arbitrary RV (with finite variance) at most 25% of observations lie outside +/- 2 std.devs.