Pruning CTA Models to Maximize PAC

Paul R. Yarnold

Optimal Data Analysis, LLC

In CTA weighting by prior odds is used if a model is sought to maximize ESS, which is explicitly optimized by a pruning algorithm that deconstructs a fully-grown model into all nested sub-branches and then reassembles all possible combinations of sub-branches to identify the configuration with greatest ESS. In contrast, unit-weighting is used if a CTA model is sought to maximize PAC, explicitly optimized using the pruning algorithm to reassemble all possible sub-branch combinations and identify the configuration with greatest PAC.

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