out of sample definition

machine-learning statistics forecasting computational-finance
Amber picture Amber · Feb 23, 2011 · Viewed 33.9k times · Source

Can anyone explain the difference between “in-sample” and “out-of-sample” forecasts?

Answer

Brian picture Brian · Mar 30, 2011

It is statistics speak which in most cases means "using past data to make forecasts of the future". "In sample" refers to the data that you have, and "out of sample" to the data you don't have but want to forecast or estimate.

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