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Quantitative Finance · Begrippenlijst

Wat is Adversarial validation, leakage audit?

Ook bekend als: adversarial validation · leakage audit

Definition 3.6 Machine Learning for Markets · Hoofdstuk 3 — Validation

Adversarial validation trains a classifier to tell training rows from test rows; an AUC well above one half means the features locate the split, so shuffled folds will leak and the test period differs from the training period. A leakage audit is the set of checks a pipeline passes before its score is believed: at least a truncation test of every feature, a canary run of the whole pipeline, a fold-overlap check of the splits, and adversarial validation.

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