skfolio.moments
.EmpiricalMu#
- class skfolio.moments.EmpiricalMu(window_size=None)[source]#
Empirical Expected Returns (Mu) estimator.
Estimates the expected returns with the historical mean.
- Parameters:
- window_sizeint, optional
Window size. The model is fitted on the last
window_size
observations. The default (None
) is to use all the data.
- Attributes:
- mu_ndarray of shape (n_assets,)
Estimated expected returns of the assets.
- n_features_in_int
Number of assets seen during
fit
.- feature_names_in_ndarray of shape (
n_features_in_
,) Names of assets seen during
fit
. Defined only whenX
has assets names that are all strings.
Methods
fit
(X[, y])Fit the Mu Empirical estimator model.
Get metadata routing of this object.
get_params
([deep])Get parameters for this estimator.
set_params
(**params)Set the parameters of this estimator.
- fit(X, y=None)[source]#
Fit the Mu Empirical estimator model.
- Parameters:
- Xarray-like of shape (n_observations, n_assets)
Price returns of the assets.
- yIgnored
Not used, present for API consistency by convention.
- Returns:
- selfEmpiricalMu
Fitted estimator.
- get_metadata_routing()#
Get metadata routing of this object.
Please check User Guide on how the routing mechanism works.
- Returns:
- routingMetadataRequest
A
MetadataRequest
encapsulating routing information.
- get_params(deep=True)#
Get parameters for this estimator.
- Parameters:
- deepbool, default=True
If True, will return the parameters for this estimator and contained subobjects that are estimators.
- Returns:
- paramsdict
Parameter names mapped to their values.
- set_params(**params)#
Set the parameters of this estimator.
The method works on simple estimators as well as on nested objects (such as
Pipeline
). The latter have parameters of the form<component>__<parameter>
so that it’s possible to update each component of a nested object.- Parameters:
- **paramsdict
Estimator parameters.
- Returns:
- selfestimator instance
Estimator instance.