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Quantitative Finance · Glossaire

Qu'est-ce que « Calibrated interval » ?

Definition 9.5 The Interview Book · Chapitre 9 — Estimation

A stated cc interval for an unknown quantity is a calibrated interval if, over many such statements, the true value falls inside a fraction cc of them.

Actual against stated coverage of central intervals when log errors have standard deviation 1: a calibrated estimator (intervals built with 1) lies on the diagonal; an overconfident one (intervals built with 0.5) falls far below it. Circles: 20 000 simulated estimates. Data: fig_iv_calib.py.
Figure 9.1. Actual against stated coverage of central intervals when log errors have standard deviation 1: a calibrated estimator (intervals built with 1) lies on the diagonal; an overconfident one (intervals built with 0.5) falls far below it. Circles: 20 000 simulated estimates. Data: fig_iv_calib.py.
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