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Some random observations --

Taleb writes in a bombastic and broad-brush style.

He overgeneralizes.

He is writing for the consumers of statistics and the naïve practitioners, not for genuine experts.

He wants to stir things up.

On the whole, I think he's more right than wrong, in the sense that applying a dose of his thinking to the world as it is will tend to align thinking more closely with reality.

Every observational value is equally likely throughout the interval. Now do the same in two dimensions (uniform on the unit square), three, etc. You might think that in 12 dimensions, the observations are spread out evenly in the corresponding hypercube, but you'd be wrong. Once the CLT starts to work, the observations all lie geometrically on a thin spherical shell with spikes, like a hedgehog.
The high-dimensional cube looks like a horrid, spikey thing, but the observations are indeed spread evaently in the hypercube, and there is no geometrically thin shell in this problem. The distribution of distance from the center, on the other hand, does start to peak away from the center, and more sharply as the number of dimensions increases.

Words and ideas I offer here may be used freely and without attribution.
by technopolitical on Wed Sep 24th, 2008 at 04:01:36 AM EST
By choosing to make rhetorical points though, he's merely perpetuating a generation of uninformed practitioners, rather than educating them. In the end, who is he kidding?

Does he really think that those readers who swallow his arguments uncritically won't do exactly the same when they read the gospel words from the next pop science writer? By eschewing solid ideas, it just makes it easy for others to discredit his claims. Nothing lasting can come of it, no solid core understanding of reality, if that's truly what he wants. It's argument from authority, and he's merely playing the trendy authority in people's reading list. Good for book sales, though....

The high-dimensional cube looks like a horrid, spikey thing, but the observations are indeed spread evaently in the hypercube, and there is no geometrically thin shell in this problem. The distribution of distance from the center, on the other hand, does start to peak away from the center, and more sharply as the number of dimensions increases.
No they're spread evenly in the shell, but the shell exists. Think of the unit cube [0,1]^n with the usual coordinates. The condition for a point to lie on a face is that one of the coordinates equals zero or one. When the number of dimensions goes up, the chance of getting at least a single coordinate close to zero or one becomes closer and closer to a certainty. Therefore, the points cluster near the faces of the hypercube, which is the (nonspherical) spikey shell I'm talking about.

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$E(X_t|F_s) = X_s,\quad t > s$
by martingale on Wed Sep 24th, 2008 at 09:10:45 PM EST
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