jm + deviation + statistics   2

Nassim Taleb: retire Standard Deviation
Use the mean absolute deviation [...] it corresponds to "real life" much better than the first—and to reality. In fact, whenever people make decisions after being supplied with the standard deviation number, they act as if it were the expected mean deviation.'

Graydon Hoare in turn recommends the median absolute deviation. I prefer percentiles, anyway ;)
statistics  standard-deviation  stddev  maths  nassim-taleb  deviation  volatility  rmse  distributions 
january 2014 by jm
Fat Tails
Nice d3.js demo of the fat-tailed distribution:
A fat-tailed distribution looks normal but the parts far away from the average are thicker, meaning a higher chance of huge deviations. [...] Fat tails don't mean more variance; just different variance. For a given variance, a higher chance of extreme deviations implies a lower chance of medium ones.
dataviz  via:hn  statistics  visualization  distributions  fat-tailed  kurtosis  d3.js  javascript  variance  deviation 
july 2013 by jm

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