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Quantitative Finance · Glossaire

Qu'est-ce que « Global surrogate » ?

Definition 21.3 Machine Learning for Markets · Chapitre 21 — Interpretability and Model Governance

A global surrogate is an interpretable model (a shallow tree, a linear model) fitted to a complex model’s predictions; its fidelity, the share of the predictions’ variance it reproduces, says how much of the model it explains.

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