How hard is it to pick the right model? MCS and backtest overfitting

DOI10.3233/AF-180231zbMATH Open1396.91817OpenAlexW3121896400WikidataQ129622349 ScholiaQ129622349MaRDI QIDQ4586464FDOQ4586464

Authors: Diego Aparicio, Marcos López de Prado 

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-180231

Recommendations

• The Model Confidence Set
• Model selection confidence sets by likelihood ratio testing
• On over-fitting in model selection and subsequent selection bias in performance evaluation
• Comparison of value-at-risk models using the MCS approach
• On model selection from a finite family of possibly misspecified time series models

zbMATH Keywords

model selectionforecastingmachine learningmultiple testingmodel confidence set

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Financial applications of other theories (91G80)

This page was built for publication: How hard is it to pick the right model? MCS and backtest overfitting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4586464)