Evaluating models using forecast error attribution

US8682617B2 · kind B2 · utility

Assignee

• Bank of America Corporation · US

Inventors

• Kaloyan Mihaylov · New York, US
• Timothy J. Breault · Charlotte, US
• Harsh Singhal · Sunnyvale, US
• Magali F. Van Belle · Charlotte, US
• Wei Wei · Beijing, CN

Key dates

• Filing date: Jul 21, 2011
• Grant date: Mar 25, 2014
• Expiry date: Jun 11, 2032

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q10/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Methods, computer readable media, and apparatuses for evaluating models using forecast error attribution are presented. According to one or more aspects, one or more input values corresponding to one or more input variables may be forecast. One or more results of a modeling function may be calculated using the one or more forecasted input values. Thereafter, actual performance data corresponding to the modeling function may be received. One or more holdout values for the modeling function may be calculated using the actual performance data. Subsequently, a graph that includes the one or more results of the modeling function, the actual performance data, and the one or more holdout values for the modeling function may be plotted. In some arrangements, the one or more holdout values for the modeling function may be indicative of one or more assumption errors made with respect to the one or more forecasted input values.