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