Entries Tagged as 'Reality Check on Methods'

 

How do you backtest a probability estimate?

August 25th, 2009 · No Comments

 

A question asked by a subscriber:
I am sympathetic to the concept of using a Monte Carlo approach, perhaps using a cascaded series of Monte Carlo models to model inputs, to produce an estimated probability distribution. This seems like a more reasonable approach to modelling reality than to assume the distribution follows a normal or lognormal [...]

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Tags: Reality Check on Methods