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Monthly Archives: May 2016
David Aldous’ review of the Black Swan
The phrase “Black Swan” (arising earlier in the different context of Popperian falsification) is here defined as an event characterized [p. xviii] by rarity, extreme impact, and retrospective (though not prospective) predictability, and Taleb’s thesis is that such events have … Continue reading
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Rio’s Inequality
Let and be two integrable realvalued random variables and let be the quantile function of . Then if is integrable over we have where is the amixing coefficient. Proof: Set and then since and note also that which implies that
Kolmogorov’s Maximal Inequality
Let be independent random variables with . Set . Then Proof: Let Notice that and
An inequality of the expectation
Let be i.i.d. r.vs with and . Then Proof: So