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Quantitative Finance · Begrippenlijst

Wat is Global surrogate?

Definition 21.3 Machine Learning for Markets · Hoofdstuk 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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