Nonfarm Payrolls – 1900 Model Challenge

With the disappointing Nonfarm Payrolls print this Friday I decided to have a systematic look at how well common machine learning algorithms can nowcast this particular series. Dataset Description Private Nonfarm Payrolls. The most important statistic in the market and generates the most volatility.  Released on first Friday of a month and measures the monthly … More Nonfarm Payrolls – 1900 Model Challenge

Shaving a Classifier with Occam’s Razor

I recently went through a Coursera course on Classification taught by Carlos Guestrin from U of Washington and thought it was excellent.   There was an interesting discussion on model overfitting that I thought I would share. In previous posts I discussed linear models with shrinkage parameters such us ridge and lasso regression models. Similar approach … More Shaving a Classifier with Occam’s Razor