b1shop comments on Why the tails come apart - LessWrong
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Statistical point: the variance of forecast error for correctly specified simple regression problems is equal to:
Sigma^2(1 + 1/N + (x_o - x_mean)^2 / (Sigma ( x_i - x_mean) ^2))
So forecast error increases as x_o moves away from x_mean, especially when the variance of x is low by comparison.
Edit: Sub notation was apparently indenting things. I'm going to take a picture from my stats book tonight. Should be more readable.
Edit: Here's a more readable link. http://i.imgur.com/pu8lg0Wh.jpg
(1) Imgur offers editing capabilities. (2) LW allows images.