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Unbias standard deviation estimator #213

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gregor-robinson opened this issue Mar 12, 2020 · 2 comments
Open

Unbias standard deviation estimator #213

gregor-robinson opened this issue Mar 12, 2020 · 2 comments
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@gregor-robinson
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gregor-robinson commented Mar 12, 2020

getStdDevMean currently uses a biased variance estimator the square root of the sample variance. This should be unbiased by replacing the denominator with treePredictions.length - 1 treePredictions.length - 1.5 or similar superlinear bias correction. This should be done with care to avoid introducing a bias to the jackknife code which couples to the same treeVariance (probably best to just rescale in getStdDevMean, which already takes a sqrt).

@gregor-robinson gregor-robinson self-assigned this Mar 12, 2020
This was referenced Mar 12, 2020
@gregor-robinson
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@mrupp-citrine made the good point in reviewing #217 that we should care more about debiasing the standard deviation estimate. So, although #216 adds a Bessel correction, we should at least use an N-3/2 correction so that the standard deviation is unbiased to second order.

@gregor-robinson
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@mrupp-citrine suggests the following, which is within scope of this issue:

The above matters only for small ensembles. Still, documenting (in source comments) the answers to these questions might help later to better remember why these decisions (e.g., to use Bessel correction) were made.

@gregor-robinson gregor-robinson changed the title Unbias variance estimator Unbias standard deviation estimator Mar 25, 2020
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