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Nassim Taleb: We should retire the notion of standard deviation

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Re: Nassim Taleb: We should retire the notion of standard deviation

#141
post #91

I sometimes think that progress in the 21st century will be summed up as: "The realization that the normal distribution is not the only way to model data". Taleb's favorite topic is the "black swan event" which is something that the normal distribution, and the idea of standard deviation, don't model that well. In a normal distribution very extreme events should only happen once in the lifetime of several universes.…

This is actually what I expected to read: "The standard deviation is useful because with the average and the standard deviation, one can fully characterize a normal distribution. However, the standard deviation is less useful a statistical summary the farther away from 'normal' you get, and in reality, there is no such thing as a normal distribution, as a true normal distribution is defined on the entire real number…

>Reality always provides some bound

But... it doesn't. You ever hear about the hypothetical possibility of your atoms lining up and falling through the floor?

It's hypothetical in the sense that it's really ridiculously unlikely, but there is no bound preventing it.

Now the central point about different probability curves stands, but that's not what Taleb was talking about--he seems to think that it's the tool's fault if people are using it wrong--and it's also not what Homunculiheaded argued.

Re: Nassim Taleb: We should retire the notion of standard deviation

#142
post #111
post #68

Earlier quoted context omitted.

I started reading that book and I thought he was a genius, but then, right abut the point where he starts bagging on the Uncertainty Principle, I realized that he's actually kind of an idiot. The book does make a good point though.

Maybe I'm the idiot, but I found the book's point to be pretty trivial. "Sometimes unexpected things happen, and people are bad at expecting the unexpected" seems pretty damn trivial to me. Maybe it's because I think like a programmer rather than a finance guy, but a large portion of what I do on a daily basis is about mitigating risk from the unknown. A programmer who only guards against known risks is going to get…

I agree with you except that you left out the only really important (in my opinion) part of his pretty trivial message: "Sometimes unexpected things happen, and people are bad at expecting the unexpected, and then they FAIL TO NOTICE that they are bad at expecting the unexpected"

It can be difficult for folks (myself included!) to separate their message from their irascible personalities.. ;-)

Re: Nassim Taleb: We should retire the notion of standard deviation

#143

I sometimes think that progress in the 21st century will be summed up as: "The realization that the normal distribution is not the only way to model data". Taleb's favorite topic is the "black swan event" which is something that the normal distribution, and the idea of standard deviation, don't model that well. In a normal distribution very extreme events should only happen once in the lifetime of several universes.…

>"The realization that the normal distribution is not the only way to model data".

Realization by who? If you understand the normal distribution you had damn well better know that there are other probability distributions.

>The problem of course is that the Cauchy distribution is pathological in that it doesn't have a mean or variance, you can calculate similar properties for it (location and scale), but it doesn't obey the central limit theorem so in practice it can be very strange to work with.

In other words, we're using the normal distribution as the workhorse because considering other distributions is, well, inefficient/unproductive.

> However a great amount of future progress is going to come from wrestling with more challenging distributions, and paying more attention to when assumptions of normality need to be questioned

What exactly is it that you think physicists have been doing for the past half century? The error accounting for CERN's experiments requires actual millions of PhD-hours.

This topic's conversation is at some bizarre intersection of good intentions, concrete knowledge, and woeful ignorance. I guess I tar myself with that brush.

Re: Nassim Taleb: We should retire the notion of standard deviation

#144
post #91

Earlier quoted context omitted.

This is actually what I expected to read: "The standard deviation is useful because with the average and the standard deviation, one can fully characterize a normal distribution. However, the standard deviation is less useful a statistical summary the farther away from 'normal' you get, and in reality, there is no such thing as a normal distribution, as a true normal distribution is defined on the entire real number…

>Reality always provides some bound But... it doesn't. You ever hear about the hypothetical possibility of your atoms lining up and falling through the floor? It's hypothetical in the sense that it's really ridiculously unlikely, but there is no bound preventing it . Now the central point about different probability curves stands, but that's not what Taleb was talking about--he seems to think that it's the tool's fau…

"But... it doesn't. You ever hear about the hypothetical possibility of your atoms lining up and falling through the floor?"

A bad example; that's a very, very large sample space, such that deviations from mathematical perfection are irrelevant. They do exist, if you're precise enough (for instance, the universe is not modeled by perfectly continuous space), but I'm not inclined to argue them, because it's too easy to argue that they're irrelevant. So instead consider something more human-sized: Match a normal distribution to the height of human beings.

It works very well, except in real life, the probability of a negative-height human being is zero. This is not what the Gaussian model predicts.

Unfortunately, rather more science takes place in the second domain than the first.

"that's not what Taleb was talking about"

I'm quite aware. The fact that I commented on how I got something other than what I expected rather suggested that, I thought... The fact that this isn't precisely what Homunculiheaded said is also why I posted, rather than just upvoting....

Re: Nassim Taleb: We should retire the notion of standard deviation

#145
post #77

So first about the article: >>The notion of standard deviation has confused hordes of scientists What an assertion! It also proved to be very useful for hordes of scientists... what about some examples of confused scientists ? >>There is no scientific reason to use it in statistical investigations in the age of the computer As someone who uses it daily I am eagerly awaiting his argument. >>Say someone just asked you…

He's inflammatory. Really, really inflammatory. He also tends to write about obvious technical points so if you do pick through the morass and find the gem you'll be a bit underwhelmed. In this instance, standard deviations are obviously important statistics to compute and have many, many useful properties, sure, but Taleb rightly points out that they can be misused and I agree with him that their misuse is endemic i…

Having the reputation of 'provocative' can become about being provocative more than being on point.

Re: Nassim Taleb: We should retire the notion of standard deviation

#146

So first about the article: >>The notion of standard deviation has confused hordes of scientists What an assertion! It also proved to be very useful for hordes of scientists... what about some examples of confused scientists ? >>There is no scientific reason to use it in statistical investigations in the age of the computer As someone who uses it daily I am eagerly awaiting his argument. >>Say someone just asked you…

I am wondering if you have a lot invested in concepts and techniques that Mr Taleb is suggesting are broken. There is certainly a tone of defensiveness about your post.

I think it is still unexplained why the financial community is sticking to things that are known to be broken. It is like trying to use newtonian mechanics to describe chaotic phenomena. Standard deviation does not properly describe fractal stuff.

Feels like the industry is looking for the lost set of keys on a dark street, not where they were last seen but rather under the lamptpost, cause that is where the light is.

Re: Nassim Taleb: We should retire the notion of standard deviation

#147
post #133

Earlier quoted context omitted.

The guy is clearly not an idiot in the general sense; I bet he is of, at least, average intelligence. I also have my doubts that he is 'vile' for the majority of connotations and denotations of that word. Because of this, just shouting 'he's an idiot!' is vulnerable to being dismissed as hyperbole, and your baby gets thrown out with the bathwater. You seem exasperated at his condescending attitude, but make no effort…

Yeah a polyglot who writes classical Greek, Arabic, French, English and can do advanced statistical modeling is clearly an idiot right?

Well, it surely looks like it seeing level of argument he presents and lack of logical consistency in his writing. Even in this article he claims SD doesn't model real world as well as MAD and then as arguments ask you what would you do if you were asked to calculate... MAD, you would clearly see it's not SD :-) His latest book is worse than the article and my conclusion about him being and idiot is based mainly on it. Here is one gem from his book:

>>True, while humans self-repair, they eventually wear out (hopefully leaving their genes, books, or some other information behind—another discussion). But the phenomenon of aging is misunderstood, largely fraught with mental biases and logical flaws. We observe old people and see them age, so we associate aging with their loss of muscle mass, bone weakness, loss of mental function, taste for Frank Sinatra music, and similar degenerative effects. But these failures to self-repair come largely from maladjustment—either too few stressors or too little time for recovery between them— and maladjustment for this author is the mismatch between one’s design and the structure of the randomness of the environment (what I call more technically its “distributional or statistical properties”). What we observe in “aging” is a combination of maladjustment and senescence, and it appears that the two are separable— senescence might not be avoidable, and should not be avoided (it would contradict the logic of life, as we will see in the next chapter); maladjustment is avoidable. Much of aging comes from a misunderstanding of the effect of comfort—a disease of civilization: make life longer and longer, while people are more and more sick. In a natural environment, people die without aging—or after a very short period of aging. For instance, some markers, such as blood pressure, that tend to worsen over time for moderns do not change over the life of hunter-gatherers until the very end. And this artificial aging comes from stifling internal antifragility.

In which he claims aging is misunderstood and proposes his new theory that it comes from too few stressors or too little recovery. Then he says that "Much of aging comes from a misunderstanding of the effect of comfort - a disease of civilization". Really ? Aging comes from misunderstanding ? This is just random babbling, there is no sense in it. Reasonable people don't write or talk like this and those who do with such conviction as him are called... well, idiots.

>polyglot who writes classical Greek, Arabic, French, English and can do advanced statistical modeling is clearly an idiot right?

If he is in fact a polyglot and in fact can do advanced statistical modelling (the latter I very much doubt, the former I have no idea about) maybe he is not an idiot but some mental illness is taking a toll on him which makes him write and talk like one. The thing is there is no continuity, what he sees as arguments don't even address the point. It's just stream of words without any essence or meaning. I mean again, read the paragraph I quoted.. it's not even cherry picked. There are worse (like the one about depression or academia). The whole book is like that and article from OP just continues the trend.

Re: Nassim Taleb: We should retire the notion of standard deviation

#148
post #78

So first about the article: >>The notion of standard deviation has confused hordes of scientists What an assertion! It also proved to be very useful for hordes of scientists... what about some examples of confused scientists ? >>There is no scientific reason to use it in statistical investigations in the age of the computer As someone who uses it daily I am eagerly awaiting his argument. >>Say someone just asked you…

>> The notion of standard deviation has confused hordes of scientists > What an assertion! It also proved to be very useful for hordes of scientists... what about some examples of confused scientists ? He is exaggerating, for sure. But the point is valid: the mean average deviation (MAD) is often very different than the standard deviation (STD), and the MAD is more intuitive, it has a natural geometrical interpretati…

> and the MAD is more intuitive, it has a natural geometrical interpretation

It's less intuitive, not more intuitive, at least for me. And the standard deviation definitely has a more geometric interpretation than MAD. If you measure a hundred samples, and you want to figure out how much they differ from the expected values, what could be more intuitive than Euclidean distance? But most people never bother to try and extend their intuition about ℝ^3 to ℝ^100 to realize how simple standard deviation truly is.

What is being advocated here is the use of the L_1 norm (MAD) over the familiar L_2 norm (standard deviation). Everybody knows and understands L_2, and L_2 has a lot of desirable properties.

Re: Nassim Taleb: We should retire the notion of standard deviation

#149
post #120

Earlier quoted context omitted.

the MAD is more intuitive Which one, the mean average deviation or the median average deviation?

I think the A is for absolute (or it wouldn't make much sense as a measure of dispersion)

You're right, sorry.

Re: Nassim Taleb: We should retire the notion of standard deviation

#150

I sometimes think that progress in the 21st century will be summed up as: "The realization that the normal distribution is not the only way to model data". Taleb's favorite topic is the "black swan event" which is something that the normal distribution, and the idea of standard deviation, don't model that well. In a normal distribution very extreme events should only happen once in the lifetime of several universes.…

>"The realization that the normal distribution is not the only way to model data". Realization by who? If you understand the normal distribution you had damn well better know that there are other probability distributions. >The problem of course is that the Cauchy distribution is pathological in that it doesn't have a mean or variance, you can calculate similar properties for it (location and scale), but it doesn't o…

"Realization by who? If you understand the normal distribution you had damn well better know that there are other probability distributions."

See Glyptodon's post: https://news.ycombinator.com/item?id=7065067

If you hang out with mathematicians, yeah, sure, everybody knows there's a ton of distributions. Try hanging out with, say, biologists. The undergrad statistics education is basically "mumble mumble guassian mumble hideous equations mumble mumble YOU MUST DO THE CHI-SQUARED TEST mumble mumble poisson mumble hideous equations mumble YOU MUST DO THE CHI-SQUARED TEST mumble mumble CHI mumble calculus is hard mumble mumble NULL HYPOTHESIS mumble CHI CHI CHI WE WILL DRUM YOU OUT OF THIS DISCIPLINE IN DISGRACE IF YOU DON'T DO THE CHI-SQUARED TEST".

I'm hardly even exaggerating! I remember being asked by someone in their third semester of using the damn test what it actually meant.

Nominally, yes, the Poisson and probably a couple of others were mentioned, but believe me, the ALL CAPS part of the education does not mention them.

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