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Quantitative Finance · Glossary

What is Concept drift, covariate shift?

Also known as: concept drift · covariate shift

Definition 12.1 Machine Learning for Markets · Chapter 12 — Online Learning and Drift

Concept drift is a change over time in the conditional distribution of the target given the features, Pt(y∣x)\P_t(y\mid x): the relation the model learned stops holding. Covariate shift is a change in the distribution of the features, Pt(x)\P_t(x), with P(y∣x)\P(y\mid x) unchanged.

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