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The correlations are 0.25-0.5, which is quite poor (Gaussian distribution plots with those correlations look like noise). That's before analyzing the methodolog
by foobarqux 2y ago
The correlations are 0.25-0.5, which is quite poor (Gaussian distribution plots with those correlations look like noise). That's before analyzing the methodology and assumptions.
- ogogmad 2y agoIsn't correlation a wrong way of measuring statistical dependence anyway? I thought that entropy-based method like Relative Entropy did this better.
- foobarqux 2y agoYeah, Taleb has some pretty convincing arguments that correlation is generally bad/misleading and entropy is better.
- bravura 2y agoCorrelation of 0.25-0.5 being poor is very problem dependent. For example, in difficult perceptual tasks ("can you taste which of these three biscuits is different" [one biscuit is made with slightly less sugar]), a correlation of 0.3 is commonplace and considered an appropriate amount of annotator agreement to make decisions.
- foobarqux 2y agoYes for certain things like statistical trading (assuming some kind of "nice" Gaussian-like distribution) where you have lots of trades and just need to be more right than wrong it's probably useful. Not here though, where you are trying to prove a (near) equivalence.