skfolio.uncertainty_set.BaseCovarianceUncertaintySet#

class skfolio.uncertainty_set.BaseCovarianceUncertaintySet(prior_estimator=None)[source]#

Base class for all Covariance Uncertainty Set estimators in skfolio.

Methods

`fit`(X[, y])	Fit the Covariance Uncertainty set estimator.
`get_metadata_routing`()	Get metadata routing for this estimator.
`get_params`([deep])	Get parameters for this estimator.
`set_params`(**params)	Set the parameters of this estimator.

Notes

All estimators should specify all the parameters that can be set at the class level in their __init__ as explicit keyword arguments (no *args or **kwargs).

abstractmethod fit(X, y=None, **fit_params)[source]#

Fit the Covariance Uncertainty set estimator.

Parameters:

Xarray-like of shape (n_observations, n_assets): Price returns of the assets.
yarray-like of shape (n_observations, n_factors), optional: Price returns of factors. The default is None.
**fit_paramsdict: Parameters to pass to the underlying estimators. Only available if enable_metadata_routing=True, which can be set by using sklearn.set_config(enable_metadata_routing=True). See Metadata Routing User Guide for more details.

Returns:

selfBaseCovarianceUncertaintySet: Fitted estimator.

get_metadata_routing()[source]#

Get metadata routing for this estimator.

Routes metadata passed to fit to the fit method of prior_estimator.

Returns:

routingMetadataRouter: Metadata routing configuration.

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.