Alle boeken

Professioneel

Apps Over Coach Inloggen Begin met lezen

Quantitative Finance · Begrippenlijst

Wat is Calibrated interval?

Definition 9.5 The Interview Book · Hoofdstuk 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.
Lees in het hoofdstuk →