Non-asymptotic tests of model performance |
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Authors: | Sylvain Chassang |
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Institution: | (1) Department of Economics and Finance, Monmouth University, West Long Branch, NJ 07764, USA;(2) Department of Finance and Real Estate, University of Texas at Arlington, Box 19449, Arlington, TX 76019, USA |
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Abstract: | This paper describes a non-asymptotic approach to the problem of selection bias in economic forecasting. By using non-asymptotic
measure concentration results, it is possible to deal with settings in which the class of potential models is large with respect
to the number of data points. The bounds on p values obtained by these methods are necessarily conservative, but they provide a useful benchmark for model selection in
settings where asymptotics may not apply. |
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Keywords: | |
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