Index · Working papers
Model uncertainty, measured.
Working papers on whether stated confidence survives contact with recorded outcomes. Out-of-sample scoring, provenance on every figure, code published with every paper.
- Analysis·Market risk
Tail Risk Backtesting: When the Test Improves and the Model Does Not
I changed 3 things about my own backtest at once, the expected-shortfall diagnostic improved, and my changelog credited the model. Running the experiment that separates them shows the reference distribution did about 11 times the work. Re-scored against 6 nulls with every statistic held fixed, the same 5 models go from 0 passes to 10.
- Analysis·Manufacturing
Tool Change Intervals, Audited Against Measured Wear
A 16-insert audit of a fixed change interval against wear that was actually measured: the rule misses by about a quarter of the change point, the range a shop would quote around it covers 68% rather than the promised 90%, and pulling early enough to be safe is paid for in tool life.
- Analysis·Energy
German Grid Forecasts: Where the Uncertainty Bands Fail
A 13-month audit of German day-ahead forecasts against what happened: systematic midday bias, uncertainty bands that fail out-of-sample (including conformal ones), and what that costs: ≈€45,500 per 100 MW of avoidable imbalance exposure at reBAP, concentrated in exactly the hours where failing is expensive.