Tag Archives: Kolmogorov-Smirnov

Real World Risk Certificate, Borjana, Zari, Markowicz, Stoyan Stoyanov, Kolmogorov-Smirnov, Apple pen | Twitter

Leave a reply

@nntaleb As if the rebels never killed civilians? What are you drinking? @janinedigi Permalink 3:34 PM – 26 Feb 2016

@LieraMarco “When you remove religion, people start believing in all kinds of bullshit, such as economics” @nntaleb #RWRI Permalink 12:34 PM – 26 Feb 2016

@nntaleb OK I just bought the Apple pen (and the pro) as a result of the comments. Thanks! Permalink 10:29 AM – 26 Feb 2016

@domineefh during 5 days with @nntaleb & #RWRI i’ve learned more usable staff and beautiful math than during 5+ years at the university Permalink 5:13 AM – 26 Feb 2016

@nntaleb Typing is a Procrustean bed compared to writing longhand. @OneTopQuark Permalink 2:35 AM – 26 Feb 2016

@nntaleb Friends, is there an application and a tablet to email longhand? #LindyEffect predicts a reversion to handwriting (technology adapts to us) Permalink 2:24 AM – 26 Feb 2016

@ewg Food Lobby Spends $101 Million in 2015 to Avert #GMO Labeling http://bit.ly/1oDeq9x   #StopTheDARKAct #RightToKnow Permalink 8:35 PM – 25 Feb 2016

@nntaleb Are you also proud of your smear campaign agents? https://twitter.com/RobbFraley/status/702962046967615489   Permalink 1:12 PM – 25 Feb 2016

@tommiesunshine #WhichHillary? The one controlled by corporate interests & their money? #ImNotWithHer pic.twitter.com/gZkyOwsAvH Permalink 12:23 PM – 25 Feb 2016

@nntaleb volatilità e “fat tails” code spesse https://twitter.com/dottorpax/status/702937718184091648   Permalink 11:42 AM – 25 Feb 2016

@nntaleb Aaron understood the no-tie-allowed, now showing higher clustering in left than right tail #RWRI day 4 pic.twitter.com/Bl97W4xg2l Permalink 11:06 AM – 25 Feb 2016

@nntaleb Day 4 of Real World Risk #RWRI Stoyan Stoyanov showing defects of naive uses of Kolmogorov-Smirnov pic.twitter.com/sbqeETTAxp Permalink 10:16 AM – 25 Feb 2016

@nntaleb Trick to be troll-free. When you block someone, block ALL his followers. The heuristic works wonders. Permalink 4:59 AM – 25 Feb 2016

@nntaleb Learning Markowicz & econ/finance theory before understanding fat tails is wrong; like having to learn astrology prior to astronomy.#REWRI Permalink 4:50 AM – 25 Feb 2016

@VergilDen “Bullshit is convex to the number of variables you have.” #RWRI #BigData @nntaleb Permalink 2:10 PM – 24 Feb 2016

@nntaleb Day 3: Zari’s doctoral advisor was AN Kolmogorov. pic.twitter.com/Lmkpqj8eBz Permalink 12:03 PM – 24 Feb 2016

@nntaleb Day 3: Borjana on asymmetries and extremes pic.twitter.com/wwyoVPwXQb Permalink 8:46 AM – 24 Feb 2016

@nntaleb Day 3 of the Real World Risk Certificate, Boryana presenting Turbulence to a nonturbulent audience. pic.twitter.com/1JbHNpT1m4 Permalink 8:16 AM – 24 Feb 2016

@nntaleb What Are the Chances of a Third World War? Debunking sloppy statistics a la Pinker. Paper with @dottorpax pic.twitter.com/O08nry7mtn Permalink 8:04 AM – 24 Feb 2016

@pascalbouvier utterly impressed by the Real World Risk course led by @nntaleb . Best two days I could have spent in NYC. Fat tails here we come. Permalink 3:35 PM – 23 Feb 2016

@pascalbouvier Second day rocking even more than first day. https://twitter.com/nntaleb/status/702132645195603968   Permalink 7:23 AM – 23 Feb 2016

@nntaleb Inaugural Real World Risk Certificate, day 2. @AAAAAAAnne pic.twitter.com/HGFpGeltEZ Permalink 6:07 AM – 23 Feb 2016

@nntaleb Medicine is largely an apprenticeship model @KEcurious @DavidBCollum Permalink 5:08 AM – 23 Feb 2016

@nntaleb No I don’t look like Umberto Eco pic.twitter.com/eeY5DdIYaf Permalink 4:53 AM – 23 Feb 2016

@VergilDen When asked how would you explain antifragility to a child, @nntaleb responded “Time is smarter than you.” Permalink 4:09 AM – 23 Feb 2016

Would-be Error Detectors: Suit Up | AllAboutAlpha

Leave a reply

Taleb writes thus: “Many have the illusion that ‘because Kolmogorov-Smirnov is nonparametric’, it is therefore immune to the nature specific distribution under the test….”

What does that mean? The Kolmogorov-Smirnov test is a standard measure of how a certain data sample compares with a reference probability distribution. It focuses on the largest observed distance between the actual set and the corresponding figure in the referenced distribution. If the largest observed distance is acceptably low, then presumably the one is acceptably conformable to the other. This test is widely said to be “non-parametric,” which in this context means that it is free of question-begging assumptions.

So what Taleb contends here is that the nonparametric nature of that test is an illusion. This is part of his effort to discredit patch-up jobs. In his view, Kolmogorov-Smirnov is one of many ways in which quants persuade themselves that they at last have a fix on how fat those fat tails can really get. If true, this would allow the quants to return to their pre-crisis mechanical ideas about risk management. But it isn’t, and they shouldn’t.

Or, as Taleb puts it at his most eloquent, “Shkmolgorov-Smirnoff.” Though I’m not sure I could manage the pronunciation of that.

via Would-be Error Detectors: Suit Up | AllAboutAlpha: Hedge Fund Trends & Alternative Investment Analysis.