Machine Learning Methods and Prediction

Free GARP FRM Part I lesson in Quantitative Analysis. 18 min read, ~2,669 words.

ML targets out-of-sample prediction; classical econometrics targets parameter inference. Different goals, different methods. Train / validation / test split: train fits parameters, validation tunes hyperparameters, test reports honest out-of-sample performance, and you touch test only once. Overfitting (large train-to-validation error gap) is fought with regularization, cross-validation, and more data; underfitting...

What this lesson covers

• Content
• Example 1
• Example 2
• Common Mistakes
• Check Your Understanding
• Exam Shortcuts

Learning objectives

• 1
• 2
• 3
• 4
• 5
• 6
• 7
• 8
• 9
• 10
• 11
• 12
• 13
• 14
• 15

Browse all free FRM Part I lessons or jump into free FRM Part I practice questions.