Tag Archives: overfitting

Overfitting by Inverse Regression

Dec 3, 2006 – 5:54 PM

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. […]

By Stephen McIntyre | Posted in Juckes et al 2006, Wahl and Ammann | Also tagged , , , , , | Comments (12)

Benchmarking from VZ Pseudoproxies

Jul 4, 2006 – 2:09 PM

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 […]

By Stephen McIntyre | Posted in Multivariate, RegEM | Also tagged , , , , , , , , , , , | Comments (72)

Huybers #2: Re-Scaling

Sep 17, 2005 – 10:23 AM

Huybers’ second and more interesting (to me) issue pertains to the benchmarking of the RE statistic.I’m going to start in the middle of this issue. If I start with the history e.g. defining the RE statistic and showing its history (and I just tried), it’s hard to get to the punch line. So what I’m […]

By Stephen McIntyre | Posted in MBH98, Statistics | Also tagged , , , | Comments (63)