fintech-algorithms
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Classification and Score Validation

10 algorithms in Model Validation and Backtesting · 10 with asserted arithmetic.

In this family#

  1. ROC Curve and ROC-AUC verified

    rocCurveAndRocAuc(inputs)
  2. Precision-Recall Curve and PR-AUC verified

    precisionRecallCurveAndPrAuc(inputs)
  3. Brier Score verified

    brierScore(inputs)
  4. Log Loss verified

    logLoss(inputs)
  5. Reliability Diagram and Expected Calibration Error verified

    reliabilityDiagramAndExpectedCalibrationError(inputs)
  6. Gains, Lift, and Decile Capture verified

    gainsLiftAndDecileCapture(inputs)
  7. Cost-Sensitive Threshold Optimization verified

    costSensitiveThresholdOptimization(inputs)
  8. Score Stability and Migration Matrix verified

    scoreStabilityAndMigrationMatrix(inputs)
  9. Slice-Based Validation by Sector, Country, and Regime verified

    sliceBasedValidationBySectorCountryAndRegime(inputs)
  10. Rare-Event Backtest and Confidence Bounds verified

    rareEventBacktestAndConfidenceBounds(inputs)

What they share#

Every topic here is a record-transform, so once you have called one the rest follow the same shape. Import paths differ only in the final segment:

ts
import { rocCurveAndRocAuc } from "fintech-algorithms/model-validation-and-backtesting/classification-and-score-validation/roc-curve-and-roc-auc";
import { precisionRecallCurveAndPrAuc } from "fintech-algorithms/model-validation-and-backtesting/classification-and-score-validation/precision-recall-curve-and-pr-auc";

Read them in the order above — the sequence is pedagogical, not alphabetical.

Where this sits#

Model Validation and Backtesting collects 10 algorithms across 1 family. For the concept behind this family rather than the call signatures, see the concept guides.