Abstract: The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible.
Switching from thin tailed to fat tailed distributions requires more than "changing the color of the dress". Traditional asymptotics deal mainly with either n=1 or $n=\infty$, and the real world is in between, under of the "laws of the medium numbers" --which vary widely across specific distributions. Both the law of large numbers and the generalized central limit mechanisms operate in highly idiosyncratic ways outside the standard Gaussian or Levy-Stable basins of convergence.
A few examples:
+ The sample mean is rarely in line with the population mean, with effect on "naive empiricism", but can be sometimes be estimated via parametric methods.
+ The "empirical distribution" is rarely empirical.
+ Parameter uncertainty has compounding effects on statistical metrics.
+ Dimension reduction (principal components) fails.
+ Inequality estimators (GINI or quantile contributions) are not additive and produce wrong results.
+ Many "biases" found in psychology become entirely rational under more sophisticated probability distributions
+ Most of the failures of financial economics, econometrics, and behavioral economics can be attributed to using the wrong distributions.
This book, the first volume of the Technical Incerto, weaves a narrative around published journal articles.
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正当法律程序简史
(美)约翰·V.奥尔特 / 杨明成、陈霜玲 / 商务印书馆 / 2006-8 / 14.00元
本书的主题——正当法律程序，是英美法的核心概念，它使诸如法治、经济自由、个人自治以及免于政府专断行为的侵害等价值观念具体化，因而是法学领域一个永恒的主题，数百年以来一直是法学家、法官及律师关注的重点。本书以极为简洁、精确的语言总结了五百年法律发展的恢弘历史，为人们描述了正当法律程序观念发展演变的清晰轨迹。而沿着这条轨迹，人们可以准确地了解正当法律程序这一重要概念所包含的广泛的问题。 作为一本......一起来看看 《正当法律程序简史》 这本书的介绍吧!
