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Fat Tails

Notes and Code for fat-tailed statistics. Inspired by Nassim Taleb's Technical Incerto.

Table of Contents

Blog

See fattails/blog/

  • 2023-10: I am drafting some articles about Entropy as used in information theory.

Notebooks

See the notebooks/README.md for more detail.

My favourite notebooks so far:

External Resources

Technical Incerto Book One:

More Links:

Other Notes

Contact ✉

How to reach me:

Contributors

Special thanks to:

Python Package

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:

Other:

Example:

$ 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

Derivations

Roughwork: