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model selection

Risky business: how to select your model based on risk preferences

2026-01-192026-01-19 Leave a comment
A distribution of some error measures across models

What do you use for model selection? Do you select the best model based on its cross-validated performance, or do you use in-sample measures like AIC? If so, there is a way to improve your selection process further. JORS recently published the paper of Nikos Kourentzes and I based on a simple but powerful idea: […]

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