Bootstrapping the right way?

Many years ago, I terribly overfit a model which caused losses of a lot of shekels (a LOT). It’s not that I wasn’t aware of the potential overfitting. I was. Among other things, I used several bootstrapping simulations. It turns out that I applied the bootstrapping in a wrong way. My particular problem was that I “forgot” about confounding parameters and that I “forgot” that peeping into the future is a bad thing.

Anyhow, Yanir Seroussi, my coworker data scientist, gave a very good talk on bootstrapping.

By Boris Gorelik

Machine learning, data science and visualization | CTO @ wiser.me http://gorelik.net.

1 comment

Leave a comment

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

%d bloggers like this: