What Could We Know at Prediction Time?

A model can appear remarkably accurate when a feature contains information that arrives after the decision. We need to reconstruct what was actually available when each prediction would have been made.

13 sections · 4 questions · 2 coding challenges

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When a Successful Evaluation Used Unavailable Information

BOTIE

When we combine records from several systems, a later event can slip into the inputs for an earlier prediction. Preprocessing can also use information from data we intended to hold out. The resulting score then reflects information the model would not have had when it needed to make the real decision.

Kaufman and colleagues examined leakage as information about a target that is not legitimately available to the prediction process. Our invented repair records make the timing issue explicit. Other forms include fitting preprocessing on test data or placing copies of an observation on both sides of a split.

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