Mainstream statistics training in the 1970s ignored Levy distributions

Evidence

Infinite variance plays havoc with standard statistical procedures. Levy distributions with values of alpha other than 2 could thus seem to be theorists’ oddities, of little or no value to practical statisticians. I was taught statistics as an undergraduate in 1970-1972. Levy distributions were never mentioned explicitly, though one member of the family the “Cauchy distribution,” for which a = 1 was described briefly, perhaps as a warning to students not unthinkingly to assume that a distribution’s “moments” its mean, its variance, and so on always exist. — Donald MacKenzie, An Engine, Not a Camera, 481

Categorization

• XREF: connects to: Under a Gaussian distribution extreme tail events become effectively impossible — Mark Blyth, Austerity: The History of a Dangerous…, 106; Mandelbrot’s fat-tailed model met fierce opposition for undermining standard statistical methods — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 139; Practical statistical convenience, not empirical fit, drove finance’s retention of the normal distribution — Donald MacKenzie, An Engine, Not a Camera: How Financial…, 510 (+3 more)

Broader Connections

• Practical statistical convenience, not empirical fit, drove finance’s retention of the normal distribution #corroborates (0.78) — Donald MacKenzie, An Engine, Not a Camera, 510
• Personal career calculus, not just evidence, shaped academics’ abandonment of Levy distributions #complicates (0.72) — Donald MacKenzie, An Engine, Not a Camera, 511