Notes and Code for fat-tailed statistics. Inspired by Nassim Taleb's Technical Incerto.
See fattails/blog/
See the notebooks/README.md for more detail.
My favourite notebooks so far:
Technical Incerto Book One:
More Links:
StatisticalConsequencesOfFatTails
How to reach me:
@MFergal
on Twitter
Special thanks to:
I started this project as a Python Package. Since then I shifted focus to python notebooks instead. Below are some notes about the packaged code and functions.
Quick Access:
fattails.mad()
: Calculates mean absolute deviation.fattails.plot_MS_moments()
: Plots the cumulative max/sum ratio of moments 1 to 4.Other:
fattails.metrics.get_survival_probability()
: Calculate survival probabilities for a given dataset.fattails.metrics.calculate_moments()
: Generate dataframe with the chosen moments for each datapointfattails.metrics.max_over_sum()
: Calculate the cumulative max/sum ratioExample:
$ pip install fattails
$ python
>>> import fattails
>>>
>>>
>>> fattails.mad([1,2,3]) # Calculate Mean Absolute Deviation of [1,2,3]
0.6666666666666666
>>>
>>>
>>> fattails.metrics.get_survival_probability([1,2,3]) # Get survival probability for each value in your data
0 0.75
1 0.50
2 0.25
Name: survival_probability, dtype: float64
Roughwork: