Cyan comments on Calibration for continuous quantities - Less Wrong

26 Post author: Cyan 21 November 2009 04:53AM

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Comment author: Cyan 21 November 2009 06:10:39PM 0 points [-]

Yup, that works. I would only caution that "assuming no jumps in the cdf" is not quite the right condition: singular distributions (e.g., the Cantor distribution) contain jumps, and the PIT works fine for them. The correct condition is that the random variable not have a discrete component.

Comment author: gjm 21 November 2009 08:06:00PM 0 points [-]

Sure.