You could make predictions from a t distribution to get fatter tails, but then the “easy math” for calibration becomes more scary… You can then take the “quartile” from the t distribution and ask what sigma in the normal that corresponds to. That is what I outlined/hinted at in the “Advanced Techniques 3”
You could make predictions from a t distribution to get fatter tails, but then the “easy math” for calibration becomes more scary… You can then take the “quartile” from the t distribution and ask what sigma in the normal that corresponds to. That is what I outlined/hinted at in the “Advanced Techniques 3”