Fat tails: a look at non Normal Distributions

Normal distributions are nice and easy but alas, they do not always explain reality. Sometimes, this lack of "normality" can lead to major problems when models are built on them. This path is not a complete reference, but can get you started in at least seeing it is a problem.

  1. Fat Tails Definition from Financial Times Lexicon

    Fat-tail and long-tail probability analysis is used in financial risk management, but it would seem that statisticians and investment pro...

  2. Fat tails, illustrated

    A look at statistical roots of crisis

  3. Elementary Statistics of Tail Events by William Nordhaus

    This is really good. Highly recommended. A look in: "A tail event is an outcome which, from the perspective of the frequency of hi...

  4. Fat-tailed distribution

    A fat-tailed distribution is a probability distribution that has the property, along with the other heavy-tailed distributions, that it e...

  5. Tail Risk

    In a normal distribution, the largest number of observations centers around the mean and declines to the right and left as there are typi...

  6. Fat Tails

    A normal distribution varies a lot in the neighborhood of its average, but produces few examples beyond three standard deviations from th...

  7. The Fat Tails Statistical Project

    Taleb is the one person more associated with Fat Tails than anyone I know. So I will give him the final word: Background: The techni...

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