Get the Most Out Of Your Test Data – MuSigma 2021-02

Speakers: Chris Gross, Gross Consulting

Description:

The data not used in parameterizing your model is very valuable. Unleash the value in the out-of-sample data in both its validation and test roles. Chris will discuss the following approaches:

      -Bootstrap samples to provide statistical tests of the difference between alternative models, without assuming an underlying distribution

-Measurement not only of the fit at a granular level, but also measurement of bias, most easily seen at an aggregated level

-Provide empirical distributions of residuals, capturing process, parameter, and model risk, and reflecting differences in the distribution across different variables. Use bootstrapping techniques to flesh out the distribution.