Tag Archives: overfitting

Overfitting by Inverse Regression

Wahl and Ammann 2006 reported that they could “get” something that was sort of HS-ish without principal component analysis. It wasn’t through a simple mean or CVM; it was through Mannian inverse regression. Juckes et al shows many reconstructions using “inverse regression”, mentioning in his conclusions that inverse regression caused over-concentration on a few proxies. […]

Benchmarking from VZ Pseudoproxies

Von Storch et al 2004 advocated using climate models to generate pseudoproxies to test the properties of proposed multivariate methods. Hardly unreasonable. I might argue that these are long-winded ways of generating proxy series with certain kinds of temporal and spatial covariance structures, but there’s much to be said for testing methods on some standard […]

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