Post on 14-Sep-2020
Non‐ParametricInforma0on‐Theore0cMeasuresofOne‐DimensionalDistribu0onFunc0onsfromCon0nuousTimeSeries
PaoloD’AlbertoandAliDasdanYahoo!Inc.
Reference WindowReferencewindow:fromseriestoCDF(Fr)MovingWindow:fromseriestoCDF(Fw)
Series:stochas0cinstance
Measures:Applyallmeasuresof
Confidenceforallmeasures(i.e.,Fr=Fw):Givenaconfidenceorp‐value(5%)eachmeasureflagswhenFr=Fw(i.e.,R~W)
Disagreementandfinalvote(Fr=Fw):WedeclareFr=Fw,whennomorethan1outof10measuresdisagrees(disagreement0.1)
Confidenceforallmeasures:(spoiler)itissimplifiedbyusingCDF(comebyandIwillshowyouwhy/how/when)