Generating Parameter Sensitivity Distributions to Mitigate Snooping Bias
May 16, 2014 - Big Ideas
Is there a practical way to mitigating data snooping bias while exploring optimal parameter values? In his February 2014 paper entitled “Know Your System! – Turning Data Mining from Bias to Benefit through System Parameter Permutation” (the National Association of Active Investment Managers’ 2014 Wagner Award winner), Dave Walton outlines System Parameter Permutation (SPP) as an alternative to traditional in-sample/out-of-sample cross-validation and other more complex approaches… Keep Reading