The ratio of standard deviation to mean absolute deviation is the best indicator of distribution fatness; for a Gaussian it is approximately 1.25, but for power-law distributions with alpha below 2 it becomes infinite, providing a simple diagnostic for detecting tail behavior.

factualpending

Speaker

Nassim Taleb

Evidence Quote

“the ratio stand deviation me deviation is uh the best indicat of fatness”

Source

Nassim Taleb — Meditations on Extremistan— Joseph Noel Walker
Created: 8/11/2026, 7:35:40 AM

My Notes

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