Audit out-of-sample incremental information from a process channel

Audit out-of-sample incremental information from a process channel

Usage

audit_channel_incremental_information(
  data,
  fold,
  baseline_fitter,
  process_fitter,
  predictor,
  scorer,
  higher_is_better = TRUE
)

Arguments

data

Input data.

fold

Group/fold column. Every unique value is held out once.

baseline_fitter

Function fitted without the process channel.

process_fitter

Function fitted with the process channel.

predictor

Function `(fit, test)` returning predictions.

scorer

Function `(test, prediction)` returning a scalar score.

higher_is_better

Direction of the score.