> Taleb doesn't point one situation when MAD works better than SD (I pointed out some where SD works better than MAD) he also doesn't address obvious problems which such substitutions create.
Ummm, are we both discussing the same article?
> Yes it's ideology of calling people out when they assert incorrect things in condescending tone without any arguments while insulting whole groups of scientists and statisticians.
No. It is the ideology of dissing Taleb. Obviously I am not his paid spokesperson. But please argue to the merit of his arguments.
To quote from Taleb's edge.org article:
>> 1) MAD is more accurate in sample measurements, and less volatile than STD since it is a natural weight whereas standard deviation uses the observation itself as its own weight, imparting large weights to large observations, thus overweighing tail events.
Also he alludes to his paper with Goldstein. It is clear form Goldstein and Taleb's manuscript that that Taleb is not just throwing these arguments to talk trash about practitioners of statistics. They report findings of an experiment with multiple groups of applied statisticians. I'll quote from it [1]:
"We first posed this question to 97 portfolio managers,
assistant portfolio managers, and analysts employed by investment management companies who were taking part in a professional seminar. The second group of participants comprised 13 Ivy League graduate students preparing for a career in financial engineering. The third group consisted of 16 investment professionals working for a major bank. The question was presented in writing and explained verbally to make sure definitions were clear."
That makes Taleb's edge.org claims far from unsubstantiated.
[1] Goldstein, Daniel G. and Taleb, Nassim Nicholas, We Don't Quite Know What We are Talking About When We Talk About Volatility (March 28, 2007). Journal of Portfolio Management, Vol. 33, No. 4, 2007. Available at SSRN: http://ssrn.com/abstract=970480