Emergic: Rajesh Jain's Blog

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The Black Swan

April 19th, 2007 · No Comments

Andrew Gelman reviews the new book by Nassim Taleb. “The book is about unexpected events (“black swans”) and the problems with statistical models such as the normal distribution that don’t allow for these rarities. From a statistical point of view, let me say that multilevel models (often built from Gaussian components) can model various black swan behavior. In particular, self-similar models can be constructed by combining scaled pieces (such as wavelets or image components) and then assigning a probability distribution over the scalings, sort of like what is done in classical spectrum analysis of 1/f noise in time series.”

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