Statistics ⋆ Sort Of Thinking

Statistics isn’t about discovering correlations, it’s about eliminating coincidence. Removing BS, like the correlation is not causation mantra.

Correlation is not correlation.

Also, correlation implicitly assumes that the first two moments of the error distribution are sufficient statistics and, hence, minimizing the sum of squared errors is the best choice for statistical estimation. This is not a tenable assumption for fat tailed distributions.
— Robert J Frey (@financequant) January 1, 2020

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