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David Aronson spent 500+ pages detailing this one key idea of multiple comparison problems in searching for trading rules---so have a look at his book called 'Evidence-Based Technical Analysis.


Have you looked at the bivariate probit model at all? Bivariate probit model with sample selection assumes that the distribution of the accepted applicant population is different from that of the rejected applicant population. That is, it is assumed that $P(default|X, rejected) \neq P(default|X, accepted)$ for some vector of ...

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