3 ms·
> We're probably actually interested in something like an upper quantile for planning purposes. True. But a conditional quantile is much harder to accurately e
by fjkdlsjflkds 3y ago
> We're probably actually interested in something like an upper quantile for planning purposes.
True. But a conditional quantile is much harder to accurately estimate from data than a conditional expectation (particularly if you are talking about extreme quantiles).
- m-murphy 3y agoOh absolutely, so it's all the more important to be precise in what we're estimating and for what purpose, and to be honest about our ability to estimate it with appropriate uncertainty quantification (such as by using conformal prediction methods/bootstrapping).