Taleb, Nassim Nicholas; Douady, Raphael - In: Physica A: Statistical Mechanics and its Applications 429 (2015) C, pp. 252-260
Sample measures of top centile contributions to the total (concentration) are downward biased, unstable estimators, extremely sensitive to both sample and population size and concave in accounting for large deviations. It makes them particularly unfit in domains with power law tails, especially...