timemachines

Ensembling skaters

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Precision weighted ensembles

Create a new skater f that is a precision weighted ensemble of moving averages as follows:

 from timemachines.skaters.simple.movingaverage import EMA_BASIC_SKATERS
 def f(y :Y_TYPE, s:dict, k:int =1, a:A_TYPE =None, t:T_TYPE =None, e:E_TYPE =None)->([float] , Any , Any):
     return precision_weighted_ensemble_factory(fs=EMA_BASIC_SKATERS,y=y,s=s,k=k,a=a,t=t,e=e,r=0.5)

Modify the r parameter to make the ensemble more evenly weighted, or less.

Implementation

• See the ensembling utilities.

Articles about ensembling skaters

• The Only Prediction Function You’ll Ever Need?

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