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How to choose the best model?

V. Margot, Towards Data Science, December 18th, 2020.

Abstract: With this advertising title, I would like to draw your attention to a common problem in machine learning (ML): the choice of the good model. I will not describe all the statistical methods that have been developed for model selection. For the most curious readers I suggest the reading of P. Massart. In this article I would like to talk about less known methods: the theory of aggregation of experts.

When I talk to other data scientists, most of them have never heard of it. Therefore, I decided to write this article to shortly describe these methods. It is based on the book “Prediction, Learning and Games”, which is nicknamed “The Red Bible” and the introduction of the thesis of Pierre Gaillard.