Paolo D’Alberto and Ali Dasdan Yahoo! Inc.paolo/Reference/Presentation2.pdf · Reference Window...

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Non‐Parametric Informa0on‐Theore0c Measures of One‐Dimensional Distribu0on Func0ons from Con0nuous Time Series Paolo D’Alberto and Ali Dasdan Yahoo! Inc.

Transcript of Paolo D’Alberto and Ali Dasdan Yahoo! Inc.paolo/Reference/Presentation2.pdf · Reference Window...

Page 1: Paolo D’Alberto and Ali Dasdan Yahoo! Inc.paolo/Reference/Presentation2.pdf · Reference Window Reference window: from series to CDF ( F r ) Moving Window : from series to CDF (

Non‐ParametricInforma0on‐Theore0cMeasuresofOne‐DimensionalDistribu0onFunc0onsfromCon0nuousTimeSeries

PaoloD’AlbertoandAliDasdanYahoo!Inc.

Page 2: Paolo D’Alberto and Ali Dasdan Yahoo! Inc.paolo/Reference/Presentation2.pdf · Reference Window Reference window: from series to CDF ( F r ) Moving Window : from series to CDF (

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)


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