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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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sweep_primary_models.yaml
+1 -1
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@@ -54,4 +54,4 @@ parameters:
other_features:
value: ['level_2', 'lags_up_to_5']
exogenous_features:
value: ['standard_scaling']
value: ['z_score']