System and method for testing prediction model
First Claim
1. A computer including a data storage device including a computer usable medium having computer usable code means for evaluating the effectiveness of a best of a plurality of prediction models vis-a-vis a benchmark model, the computer usable code means having:
- computer readable code means for receiving, from a computer input device, past market data from a database;
computer readable code means for generating the prediction models to be evaluated, at least one prediction model outputting at least one indicator of predicted performance;
computer readable code means for generating an effectiveness measurement of the benchmark model using predetermined measurement criteria, the predetermined measurement criteria being based on the past market data;
computer readable code means for generating an effectiveness measurement of each prediction model using the measurement criteria;
computer readable code means for determining the best one of a plurality of prediction models;
computer readable code means for generating a statistic representative of the statistical significance of the effectiveness of a best one of the prediction models vis-a-vis the benchmark model using the effectiveness measurements, wherein the statistic is determined based on the evaluation of all the prediction models; and
based on the statistic, using the best one of the prediction models to predict future performance.
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Abstract
A computer-implemented prediction model evaluation method includes specifying many prediction models and a benchmark model against which the prediction models will be evaluated. A primary data matrix is arranged by data indices, and the primary matrix is sampled with replacement N times to bootstrap N observation matrices. Then, all the matrices are filled with measurement criteria, with each criteria being representative of a respective data index and a respective model. A p-value estimate is returned that measures the statistical significance of the best prediction model relative to the benchmark, where the p-value represents the probability of wrongly rejecting the null hypothesis that a best prediction model has expected performance no better than that of a benchmark. The p-value accounts for the examination of all of the prediction models, i.e., the p-value depends on the examination of all of the models as a group, and not simply on a single model.
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Citations
18 Claims
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1. A computer including a data storage device including a computer usable medium having computer usable code means for evaluating the effectiveness of a best of a plurality of prediction models vis-a-vis a benchmark model, the computer usable code means having:
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computer readable code means for receiving, from a computer input device, past market data from a database; computer readable code means for generating the prediction models to be evaluated, at least one prediction model outputting at least one indicator of predicted performance; computer readable code means for generating an effectiveness measurement of the benchmark model using predetermined measurement criteria, the predetermined measurement criteria being based on the past market data; computer readable code means for generating an effectiveness measurement of each prediction model using the measurement criteria; computer readable code means for determining the best one of a plurality of prediction models; computer readable code means for generating a statistic representative of the statistical significance of the effectiveness of a best one of the prediction models vis-a-vis the benchmark model using the effectiveness measurements, wherein the statistic is determined based on the evaluation of all the prediction models; and based on the statistic, using the best one of the prediction models to predict future performance. - View Dependent Claims (2, 3, 4, 5, 6, 7)
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8. A computer-implemented method for evaluating the effectiveness of the best among plural prediction models against a benchmark model, comprising the steps of:
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collecting past performance data in a database; specifying the prediction models; defining a primary matrix arranged using data indices, the primary data matrix including the past performance data; sampling the primary matrix with replacement N times to define N observation matrices; filling the matrices with effectiveness measurement criteria, each criterion being representative of a respective data index and a respective model; returning a statistic representative of the statistical significance of a most effective prediction model vis-a-vis a benchmark, based on the matrices; determining the best prediction model; using the statistic to assess the significance of a best prediction model vis-a-vis the benchmark, and using the best prediction model to predict future performance. - View Dependent Claims (9, 10, 11, 12)
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13. A computer program product comprising:
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a computer program storage device readable by a digital processing apparatus; and a program mean on the program storage device and including instructions executable by the digital processing apparatus for performing method steps for evaluating plural prediction models, the method steps comprising; receiving past performance data from a database, the past performance data being input by means of a computer input device; generating the prediction models to be evaluated, the prediction models outputting one or more indicators of predicted future performance based on the past performance data; generating an effectiveness measurement of a benchmark model using predetermined measurement criteria; generating an effectiveness measurement of each prediction model using the measurement criteria; generating a statistic representative of the statistical significance of the effectiveness of a best one of the prediction models vis-a-vis the benchmark model using the effectiveness measurements, wherein the statistic is determined based on the evaluation of all the prediction models; based on the statistic, determining the best one of a plurality of prediction models; and using the best one of the prediction models to predict future performance. - View Dependent Claims (14, 15, 16, 17, 18)
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Specification