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Quantitative Finance · Begrippenlijst

Wat is Panel bias, panel reweighting?

Ook bekend als: panel bias · panel reweighting

Definition 15.3 Machine Learning for Markets · Hoofdstuk 15 — Alternative-Data Pipelines

Panel bias is the difference between a statistic computed on a data vendor’s panel (cardholders, devices, users) and the same statistic on the population it stands for, caused by who is in the panel. Panel reweighting gives each panel member a weight so that the weighted panel matches known population totals; raking (iterative proportional fitting) does it with only the margins, adjusting the weights to each margin in turn until all match (Deming and Stephan, 1940).

Mean absolute error, across 100 retailers, of the year-on-year sales growth read from the panel. Dashed: the vendor’s launch (quarter 12) and its change of bank partner (quarter 16). Data: ml_altdata.errors.
Figure 15.1. Mean absolute error, across 100 retailers, of the year-on-year sales growth read from the panel. Dashed: the vendor’s launch (quarter 12) and its change of bank partner (quarter 16). Data: ml_altdata.errors.
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