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eXtreme Gammon question

Posted By: Timothy Chow
Date: Saturday, 29 August 2009, at 12:30 a.m.

In Response To: eXtreme Gammon question (Tom Keith)

Tom Keith wrote:

In other words, isn't the difference between two (possibly different) normal distributions also a normal distribution having a standard deviation of JSD?

Yes (provided you normalize the j.s.d. properly, as Bob Koca mentioned). However, you are not directly observing the difference A - B. You're getting samples of A and B separately. Thus if you want to make the best use of the information you're getting, you need to keep track of a 2-dimensional probability distribution (or equivalently, 2 separate probability distributions, since they're independent) and update it each time you get a new observation.

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