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Quantitative Finance · शब्दावली

Aleatoric and epistemic uncertainty क्या है?

अन्य नाम: aleatoric uncertainty · epistemic uncertainty

Definition 11.5 Machine Learning for Markets · अध्याय 11 — Probabilistic Models and Uncertainty

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.

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