4 ms·
> The Normal Distribution is your best guess if you only know the mean and the variance of your data. That's awful advice for some domains. If your process dyn
by carlosf 6y ago
> The Normal Distribution is your best guess if you only know the mean and the variance of your data.
That's awful advice for some domains. If your process dynamics are badly behaved (statistically), such as power laws and likes, it turns out the "mean" and "variance" you're calculating from samples are probably rubbish.
Choosing a starting distribution is actually a statement on how you're exposing yourself to risk, there is no such thing as "best guess".
- yetanothermonk 6y agoI’m making no statement on what your priors are, just that if you have the mean and variance, the max entropy distribution is the Normal. If you know skew and kurtosis, you’ll pick something else