NormalHedgeEnsemble

class sktime.forecasting.online_learning.NormalHedgeEnsemble(n_estimators=10, a=1, loss_func=None)[source]

Implementation of A Parameter-free Hedging Algorithm, Kamalika Chaudhuri, Yoav Freund, Daniel Hsu (2009) as a hedge-style algorithm.

Parameters
  • n_estimators (float) – number of estimators

  • T (int) – forecasting horizon (in terms of timesteps)

  • a (float) – normalizing constant

  • loss_func (function) – loss function which follows sklearn.metrics API, for updating weights

__init__(n_estimators=10, a=1, loss_func=None)[source]

Initialize self. See help(type(self)) for accurate signature.