2 papers
q-fin.RM2023
The Probability Conflation: A Reply
Nassim Nicholas Taleb, Ron Richman, Marcos Carreira +1
We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment…
stat.ME2019
Calibration of the Pareto and related distributions -a reference-intrinsic approach
James Sharpe, Miguel A Juarez
We study two Bayesian (Reference Intrinsic and Jeffreys prior) and two frequentist (MLE and PWM) approaches to calibrating the Pareto and related distributions. Three of these appr…