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=∞, and the real world is in between, under 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 "na ve empiricism," but can be sometimes be estimated via parametric methods.- The "empirical distribution" is rarely empirical.- Parameter uncertainty has compounding...
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