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How much data do you need? An operational, pre-asymptotic metric for fat-tailedness

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  • Taleb, Nassim Nicholas

Abstract

This paper presents an operational metric for univariate unimodal probability distributions with finite first moments in [0,1], where 0 is maximally thin-tailed (Gaussian) and 1 is maximally fat-tailed. It is based on the question, “how much data does one need to make meaningful statements about a given dataset?”

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  • Taleb, Nassim Nicholas, 2019. "How much data do you need? An operational, pre-asymptotic metric for fat-tailedness," International Journal of Forecasting, Elsevier, vol. 35(2), pages 677-686.
    • Handle: RePEc:eee:intfor:v:35:y:2019:i:2:p:677-686
    DOI: 10.1016/j.ijforecast.2018.10.003
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    Cited by:

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    2. Puisa, Romanas & Montewka, Jakub & Krata, Przemyslaw, 2023. "A framework estimating the minimum sample size and margin of error for maritime quantitative risk analysis," Reliability Engineering and System Safety, Elsevier, vol. 235(C).
    3. Dewitte, Ruben, 2020. "From Heavy-Tailed Micro to Macro: on the characterization of firm-level heterogeneity and its aggregation properties," MPRA Paper 103170, University Library of Munich, Germany.

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