Skip to content

The empirical distribution is … not empirical

Published on Jun 12, 2017
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”.

Post a Comment

Your email is never published nor shared. Required fields are marked *
*
*