196 citations · 544 across the 24 of their papers we have counts for
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stat.ME2019★ 3 cited
Branching epistemic uncertainty and thickness of tails
Nassim Nicholas Taleb, Pasquale Cirillo
This is an epistemological approach to errors in both inference and risk management, leading to necessary structural properties for the probability distribution. Many mechanisms ha…
stat.ME2018★ 13 cited
How Much Data Do You Need? An Operational, Pre-Asymptotic Metric for Fat-tailedness
Nassim Nicholas Taleb
This note presents an operational measure of fat-tailedness for univariate probability distributions, in where 0 is maximally thin-tailed (Gaussian) and 1 is maximally fat-…
stat.ME2017★ 34 cited
Gini estimation under infinite variance
Andrea Fontanari, Nassim Nicholas Taleb, Pasquale Cirillo
We study the problems related to the estimation of the Gini index in presence of a fat-tailed data generating process, i.e. one in the stable distribution class with finite mean bu…