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Consider alternative weighting schemes #18

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magsol opened this issue Jun 11, 2021 · 0 comments
Open

Consider alternative weighting schemes #18

magsol opened this issue Jun 11, 2021 · 0 comments

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@magsol
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magsol commented Jun 11, 2021

The method of setting the baseline for computing anomalies has the potential to be heavily skewed in favor of trailing eigenvalue components. See this line:

eigen_vals_avgs = [np.mean(x) for x in eigen_vals]

If eigenvalue components obey a classic power-law distribution (associated with most real-world data), then disproportionate weight will be assigned to the trailing components given how averages work. We may want to consider a weighted mean, whereby weight is assigned to each eigenvalue according to the variance it explains in the original data. Alternatively, we could compute a median or interquartile range (e.g., top quartile).

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