Predictability and Information Part I: Measures of Predictability
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Author
DelSole, T.Date
2003
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The connection between predictability and information theory is discussed with the aim of clarifying the various metrics which have been proposed in the literature. This discussion begins with the following definition of predictability: an event is predictable if the posterior distribution, after a set of observations becomes available, differs in any way from the prior distribution which is known before observations become available.Collections