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fix(FeatureExtractor): use a rolling z-score instead of StandardScaler with unavoidable lookahead bias (#146)

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* fix(FeatureExtractor): use a rolling z-score instead of StandardScaler with unavoidable lookahead bias

* chore(Archive): removed archived models

* fix(FeatureExtractors): syntax

* fix(FeatureExtractors): mistake with expanding window
This commit is contained in:
Mark Aron Szulyovszky
2022-01-10 14:24:51 +01:00
committed by GitHub
parent 73cfc67336
commit 18768c3925
9 changed files with 9 additions and 384 deletions
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config/config.py
+2 -2
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@@ -22,7 +22,7 @@ def get_dev_config() -> tuple[dict, dict, dict]:
forecasting_horizon = 1,
own_features = ['level_2', 'date_days'],
other_features = ['single_mom'],
exogenous_features = ['standard_scaling'],
exogenous_features = ['z_score'],
index_column= 'int',
method= 'classification',
no_of_classes= 'two',
@@ -65,7 +65,7 @@ def get_default_ensemble_config() -> tuple[dict, dict, dict]:
forecasting_horizon = 1,
own_features = ['level_2', 'date_days', 'lags_up_to_5'],
other_features = ['level_2', 'lags_up_to_5'],
exogenous_features = ['standard_scaling'],
exogenous_features = ['z_score'],
index_column= 'int',
method= 'classification',
no_of_classes= 'two',