Aleatoric uncertainty is the randomness of the target given the inputs, which more data cannot remove; epistemic uncertainty is the model’s uncertainty about the function itself, which more data reduce. In a deep ensemble the average of the members’ predicted variances estimates the first and the variance of their means the second; the predictive variance is their sum.
Quantitative Finance · Glossary
What is Aleatoric and epistemic uncertainty?
Also known as: aleatoric uncertainty · epistemic uncertainty