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Howard,
while I agree in general with what you said, I think a very low WFE *might* be
an indication that your system is not able to generalize well enough even if
the OOS results look, well, satisfying. A warning sign that it might not work
well in the future.
Thomas
On 11.05.2009, 00:21:00 Howard B wrote:
> Greetings all --
>
> In-sample results and out-of-sample results can be, and usually are, very
> different in their characteristics.
>
> My experience is that the ratio (OOS/(IS+OOS)), where these are the
> in-sample and out-of-sample results, is difficult to compute and often even
> difficult to define. I have not found it to be of value in estimating the
> future performance of the system.
>
> My understanding of Bob Pardo's book is that he feels that the length of
> the out-of-sample period can be determined by a calculation based on the
> length of the in-sample period. If that were true, then the ratio would be
> a little easier to compute. But, in my experience, there is no
> relationship between the length of the out-of-sample period and the length
> of the in-sample period. And gathering the data and performing the
> calculation of the ratio for some objective functions would be difficult.
>
> Isn't it the out-of-sample results we are trying to estimate? Do we care
> what the in-sample results look like? If the out-of-sample results are
> terrible, why bother computing the ratio. If the out-of-sample results are
> good, why bother computing the ratio -- how will that information be used
> to improve the system? And if it is used to modify the system, then the
> previously out-of-sample data has become in-sample.
>
> Do any of the forum member have examples they can contribute where
> computing the ratio is helpful?
>
> Thanks,
> Howard
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