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Tag Archives: predictability

Error, Dimensionality, and Predictability

This is a bit technical (for those into technical stuff and mathematical flaneuring). It proves why you can’t predict in any multivariate (not even complex) system. Even thin-tailed variables are unpredictable. https://dl.dropboxusercontent.com/u/50282823/Propagation.pdf PS: Actually we show how we lose predictability by adding dimensions, with a trade-off, so it can lead to precise policies and decisions […]

Conundrum of the Gamma distribution

https://twitter.com/nntaleb/status/616651702331133952 Conundrum of the Gamma distribution https://twitter.com/nntaleb/status/616602963876786176 Proof of the degradation of predictability; model error compounds. Adding one variable can make error up 1000-fold https://dl.dropboxusercontent.com/u/50282823/predictability.pdf