Author: gmcnevin

Estimator using the geometric mean

https://arxiv.org/abs/1804.03989 The geometric mean can be used to estimate the scale of a Coupled Gaussian. Shown is comparison of the estimates for the variance of Gaussian distribution and the scale of a Cauchy Distribution. A proof is provided showing the relationship between the geometric mean of the coupled Gaussian distributions and the scale of the […]

Assessing the accuracy of predictions

The calibration curve for the accuracy of of probabilistic forecast is aggregated into a metrics of decisiveness, accuracy and robustness.  The y-axis is the forecasted probability. The x-axis is a histogram of a source used for testing of the decision algorithm.  The green and orange curves represent a histogram of the model-predicted versus source-measured probabilities.  […]