cvxgrp / cvxportfolio / 8355968266

99%

Build Type

push

github

Committed by enzbus

Commit Message

Merge branch 'regression_forecaster'

We're merging this because we want to release the 1.3.0 version, and there are
pieces in the branch that are useful and should be included in master. However
the work on it is not finished. We currently only have a (fully functional!)
variant class of HistoricalMeanReturn that performs linear regression with
arbitrary (user-provided) regressors, which are correctly aligned using pandas
indexing methods (as sparingly as possible, they are expensive), with correct
separation of "compute from scratch" and "update with one observation" for all
components of the regression (X^T X, X^T Y, index alignment, ...). This will,
however, be incorporated in the main forecaster classes, and most importantly
extended to the covariance forecaster using efficient Numpy vectorization.
It will take some time, however.

Coverage Stats

214 of 217 new or added lines in 5 files covered. (98.62%)

11 existing lines in 3 files now uncovered.

5390 of 5424 relevant lines covered (99.37%)

14.88 hits per line