b1shop comments on Why the tails come apart - LessWrong

114 Post author: Thrasymachus 01 August 2014 10:41PM

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Comment author: b1shop 05 August 2014 02:41:01PM *  2 points [-]

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

Comment author: Douglas_Knight 18 May 2015 04:13:39PM 1 point [-]

(1) Imgur offers editing capabilities. (2) LW allows images.