Earlier quoted context omitted.
- Strips a statement of context, examples, and citations. - Claims it is useless therewithout.
No. There are absolutely no citations or specific examples. There is the claim that "every time a newspaper has attempted to clarify the concept of market 'volatility', it defined it verbally as mean deviation yet produced the numerical measure of the (higher) standard deviation," which is not an example, it's a fact claim without a shred of evidence behind it (and as it is an absolute claim, you only need to find on…
Nassim Taleb: We should retire the notion of standard deviation
181–190 of 254 posts
Re: Nassim Taleb: We should retire the notion of standard deviation
#182Earlier quoted context omitted.
> I don't understand calling him a "vile idiot" is so terrible. Then you are a vile idiot.
Super helpful comment. Thanks. Definitely, the transition from calling public figures "vile idiots" to calling individual commenters on HN threads "vile idiots" is sure to produce a productive discussion. I started this subthread by pointing out that 'bluecalm had weakened his argument by using the words "vile idiot". But 'bluecalm also made a bunch of testable and non-obvious observations in his comment; his writing…
Re: Nassim Taleb: We should retire the notion of standard deviation
#183I was just wondering about a very related problem. I do 5 measurenments of some random variable (let's say execution time) and average them. How should I report the variability of that average? State the sample size and standard deviation?
Re: Nassim Taleb: We should retire the notion of standard deviation
#184Re: Nassim Taleb: We should retire the notion of standard deviation
#185I think we'd be better off if we recognized that there are statistical distributions in the world besides the plain old Gaussian. For example, wealth does not follow a Gaussian, so why the heck do we throw around ideas like "above average wealth"? Is MAD any better? Definitely. But I'd like to see a visual demonstration of how well it models exponential-based distributions. How well does it describe their "shape", th…
In that specific case, I'd submit that the word "average" doesn't belong in a conversation attempting any level of rigor. It only encourages the confusion between median and mean.
Re: Nassim Taleb: We should retire the notion of standard deviation
#186Earlier quoted context omitted.
>> 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…
While the standard deviation is proportional to the L_2 distance betwen the vector of the samples and a equal sized vector with all coordinates as the mean, that's not an intuitive expression based on the problem statement.
Re: Nassim Taleb: We should retire the notion of standard deviation
#187Look at an reputable news site or paper. Odds are they post articles based on polls several times a day. How many report confidence intervals or anything of the sort? These are crucial for interpreting polls, but are left out more often than not. Worse yet, many stories make a big deal about a "huge" shift in support for some political policy, party or figure, when the previous month's figure is actually well within the confidence interval of the current month's poll!
Standard deviation, confidence intervals, etc. are all ways of expressing uncertainty, and it's become abundantly clear that the average journalist, to say nothing of the average person, has no clue about what the concept means. If the goal is to communicate with the public, then we really need to take a step back and appreciate the stupendously colossal wall of ignorance we're about to butt our heads against. When we talk about the general public, we should keep in mind that rather a lot of people know so little about the scientific method that they interpret the impossibility of proving theories as justification for giving religious fables equal footing in schools. This kind of ignorance isn't a nasty undercurrent lurking in the shadows. It's running the show, as evidenced by many state laws in the U.S.! There is absolutely no hope of explaining uncertainty to most of these people.
There is hope of explaining basic statistics to journalists, if only because they are relatively few in number and it's a fundamental part of their job to understand what they are reporting. Yes, I just said that every journalist who has reported a poll result, scientific figure, etc. without the associated uncertainty has failed to adequately perform their job. We need to make journalists understand why they are failing. If simplifying the way we report uncertainties will assist with this, then I'm all for it. Bad journalism is a root cause of a great deal of ignorance, but it's not an insurmountable task to fix it.
If you are a scientist who speaks to journalists about your work, make sure they include uncertainties. If you are an editor, slap your peons silly if they write a sensationalistic poll piece when the uncertainties say it's all a bunch of hot air. If you are a reader, please mercilessly mock bad articles and write numerous scornful letters to the editor until those editors pull out their beat-sticks and get slap-happy. We should not tolerate this kind of crap from people who are paid to get it right.
Re: Nassim Taleb: We should retire the notion of standard deviation
#188Earlier quoted context omitted.
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.. ;-)
But if we were good at noticing that we're bad at expecting the unexpected, then we would expect the unexpected, making it no longer really all that unexpected, no? His whole argument just felt tautological to me.
If none of this makes sense, take a look at the LessWrong site.
Re: Nassim Taleb: We should retire the notion of standard deviation
#189Earlier quoted context omitted.
> MAD, however is nicer for reporting data since it is more intuitive. I have a hard time fathoming how anyone could think such a thing. This is math: we should be using things because they map to reality in some way, not because they are aesthetically pleasing. The standard deviation maps to processes where the "importance" of changes is proportional to their square. For example, electrical power is proportional to…
> The standard deviation maps to processes where the "importance" of changes is proportional to their square. Sure, but the point of the article is that STD is used very commonly, in places where that does not make sense. For example, it is common to see things like "the weight of the test subjects was 170cm (STD 5cm)".
Because of the central limit theorem, many distributions encountered in science are approximately Gaussian, which is parameterized by its mean and standard deviation. According to Wikipedia: "Height is sexually dimorphic and statistically it is more or less normally distributed, but with heavy tails."
On top of that, we have well-understood and easy to compute estimators for standard deviation. Using the sample variance is not a bad estimator at all, the only real disagreement is whether you divide by N or N-1.
Re: Nassim Taleb: We should retire the notion of standard deviation
#190NNT is my intellectual superhero but the amount of hate he gets is tremendous. Please understand that NNT's biggest issues are not so much with the way statistical models are applied to economics and finance, but how social scientists sometimes feel compelled to apply them to social fields as well, which is plain unscientific, dumb, and mostly disastrous. So when you bear down on his arguments, please keep this conte…
Among other things, I've seen way more appalling applications of statistics in finance and economics than I have in social science. Also, the assertion in your post that the misapplication of statistical models in social science is "disastrous" but somehow giving finance a pass? You've got to be kidding me.