Tag: validation
Concepts
- Adversarial Backtest Design
- Combinatorially Symmetric Cross-Validation and PBO
- Early Stopping Criteria and Patience
- Requiring an Economic Rationale
- Holdout Discipline and the Sealed Sample
- In-Sample and Out-of-Sample Protocol
- Independent Replication by a Second Researcher
- Model Risk Management
- Parameter Plateaus Versus Spikes
- Designing a Validation Protocol Up Front