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Quantitative Finance · Glosarium

Apa itu Stacking?

Definition 14.5 Research Craft: Predictors, Backtests, Measurement, Portfolios · Bab 14 — Signal Combination

Stacking combines several predictors (here, several blends) with weights fitted on their predictions for data not used to build them: Breiman’s (1996) stacked regressions use cross-validated predictions and least squares under non-negativity constraints, an idea he credits to Wolpert (1992).

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