The Hacker's Guide to Uncertainty Estimates

erikbern.com

I never studied statistics and learned it kind of “backwards” through machine learning, so I consider myself more as a hacker who picked up statistics along the way. Earlier this year I had some basic knowledge of bootstrapping and confidence intervals, but along the way I had to pick up a whole arsenal of tricks going all the way to Monte Carlo methods and inverse Hessians. It seemed useful to share some of the methods I’ve used the most, so I wrote this post!

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