196 citations · 544 across the 24 of their papers we have counts for
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q-fin.ST2020
What You See and What You Don't See: The Hidden Moments of a Probability Distribution
Nassim Nicholas Taleb
Empirical distributions have their in-sample maxima as natural censoring. We look at the "hidden tail", that is, the part of the distribution in excess of the maximum for a sample…
q-fin.ST2016
Stochastic Tail Exponent For Asymmetric Power Laws
Nassim Nicholas Taleb
We examine random variables in the power law/regularly varying class with stochastic tail exponent, the exponent having its own distribution. We show the effect of stochasticit…
q-fin.ST2015
How to (Not) Estimate Gini Coefficients for Fat Tailed Variables
Nassim Nicholas Taleb
Direct measurements of Gini coefficients by conventional arithmetic calculations are a poor estimator, even if paradoxically, they include the entire population, as because of supe…