196 citations · 544 across the 24 of their papers we have counts for
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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…
q-fin.PR2017★ 15 cited
Election Predictions as Martingales: An Arbitrage Approach
Nassim Nicholas Taleb
We consider the estimation of binary election outcomes as martingales and propose an arbitrage pricing when one continuously updates estimates. We argue that the estimator needs to…