We are now collecting a lot of data. This is a good thing in general. But data collection and data storage capabilities have evolved fast. Much faster than statistical methods to go along with those voluminous numbers. We are still using good ole fashioned Fisherian statistics. Back then, when you had not too many observations, statistical significance actually meant something.
Tag: High dimensional
Curse of dimensionality part 2: forecast combinations
In a previous post we discussed the term ‘curse of dimensionality’ and showed how it manifests itself, in practice. Here we give another such example.