This is a summary of links featured on Quantocracy on Sunday, 02/19/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Outliers and Loss Functions [Eran Raviv]A few words about outliers In statistics, outliers are as thorny topic as it gets. Is it legitimate to treat the observations seen during global financial crisis as outliers? or are those simply a feature of the system, and as such are integral part of a very fat tail distribution? I recently read a paper where the author chose to remove forecasts which produced enormous errors: (some) models