詹森不等式_注意詹森差距

詹森不等式

背景 (Background)

In Kaggle’s M5 Forecasting — Accuracy competition, the square root transformation ruined many of my team’s forecasts and led to a selective patching effort in the eleventh hour. Although it turned out well, we were reminded that “reconstitution bias” can plague predictions on the original scale, even with common transformations such as the square root.

在Kaggle的“ M5预测-准确性”竞赛中 ，平方根转换破坏了我团队的许多预测，并在第11小时进行了选择性修补工作。 尽管结果很好 ，但我们仍被提醒，“重构偏见”会困扰原始规模的预测，即使采用平方根之类的常见转换也是如此。

平方根变换 (The square root transformation)

For Poisson data, the rationale of the square root is that it is a variance-stabilizing transformation; in theory, the square root of the values are distributed approximately normal with constant variance and a mean that is the square root of the original mean. It is an approximation, and as Wikipedia puts it, one in which the “convergence to normality (as [the original mean] increases) is far faster than the untransformed variable.”

对于Poisson数据 ，平方根的基本原理是它是方差稳定的变换； 从理论上讲，值的平方根近似分布，且具有恒定方差，且均值是原始均值的平方根。 正如Wikipedia所说 ，这是一种近似，其中“ 归一化的收敛性(随着(原始均值)的增加)比未转换的变量快得多。 ”

Imagine you decide to take square roots in a count data scenario, feeling good reassured that the convergence to normality is “fast.” You then model the mean of square-root transformed data and then get predictions on the square root scale. At some point, especially in a forecasting scenario, you’ll have to get back to the original scale. That probably entails squaring the model-estimated means. The M5 competition served as a reminder that this approach can and will break down.

想象一下，您决定在计数数据方案中求平方根，并确信向正态的收敛是“快速的”。 然后，您可以对平方根转换后的数据的均值建模，然后获得平方根尺度的预测。 在某些时候，尤其是在预测情况下，您必须回到原始比例。 这可能需要对模型估计的均方进行平方。 M5竞赛提醒我们，这种方法可能并且将会失败。

詹森差距