
For fat tailed distributions, the empirical distributions does not reflect the true statistical properties, particularly for extremes. This is a simplified side note to a paper with Mark Spitznagel on why people make a mistake by looking at raw historical data as "empiricism". So I am fed up with academics who say "we know it is fat tails" yet not understand the consequences.
The empirical distribution is ... not empirical - YouTube |
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| Education | Upload TimePublished on 12 Jun 2017 |
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