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Quantitative Finance · Glossaire

Qu'est-ce que « CUPED » ?

Definition 21.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 21 — Live Experiments

CUPED (controlled experiments using pre-experiment data; Deng, Xu, Kohavi and Walker) compares the arms on the adjusted outcome y−(x−xˉ)⊤θy - (x - \bar x)^\top\theta, where xx are covariates the treatment cannot affect and θ\theta is the coefficient of the regression of yy on xx pooled over both arms.

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