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  1. R

    Averaging LASSO coefficients for repeated random partitioning of data

    Is it reasonable to average LASSO coefficients from repeated reshuffling of training/test sets? Suppose I randomly divide my data into testing & training sets, then within the training set use 10-fold cross-validation to choose an optimal λ, then refit on full training data and record the...
  2. R

    Calibrating time-series simulations / backtests

    Suppose I have a time-series data generating process that I am trying to simulate. The simulations are controlled by 2 discrete variables: −3<= A<=3 and 0<= B<= 10. When backtesting, the simulations perform reasonably well, but I'd like the find the optimal values of A and B for calibration. I...