Herman Rubin wrote:
> For prediction, we should estimate the distribution of
> the errors and use that; the distribution of the errors
> of estimate are not going to be too far from normal
> compared to that, if the regression is a reasonable
> model. Lack of near independence between the predictors
> and the errors puts a major question on the prediction.
>
> For enlightenment, the distribution of the errors is not
> of much importance.
Nicely stated.
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