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Online Ensemble of Models for Optimal Predictive Performance with Applications to Sector Rotation Strategy
To capitalize on the strong predictive results of individual models for the performance of different sectors, we develop a novel online ensemble algorithm that learns to optimize predictive performance.
Precision-Recall Curve (PRC) Classification Trees
Our algorithm, named as the "Precision-Recall Curve classification tree", or simply the "PRC classification tree" modifies two crucial stages in tree building.
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