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Cerebral Mastication » Blog Archive » I don’t even know how wrong I am!

Shared by JohnH

Take the test here: http://messymatters.com/2010/02/28/calibration/ If you’ve been reading/listening, you’ll probably do very well ;-) [My score was 100%]

So simply put, providing confidence bands around a guess which is out of my area of experience is really hard and I’m not good at it. The biggest problem is knowing when I’m out of my domain. In both The Black Swan and Fooled by Randomness, Nassim Nicholas Taleb points out that the single strongest predictor for how bad someone is going to do at the confidence band game is if they hold a PhD. If anyone has a reference on the study he refers to, I’d love to see it. I’m resisting the temptation to throw stones at both actuaries and finance quants right here. And if I didn’t live in a glass house, I would!

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