skfolio.utils.tools.fit_and_predict

skfolio.utils.tools.fit_and_predict(estimator, X, y, train, test, fit_params, method, column_indices=None)

Fit the estimator and predict values for a given dataset split.

Parameters:

estimatorestimator object implementing ‘fit’ and ‘predict’

The object to use to fit the data.

Xarray-like of shape (n_observations, n_assets)

The data to fit.

yarray-like of shape (n_observations, n_factors) or None

The factor array if provided

trainndarray of int of shape (n_train_observations,)

Indices of training samples.

testndarray of int of shape (n_test_samples,) or list of ndarray

Indices of test samples or list of indices.

fit_paramsdict

Parameters that will be passed to estimator.fit.

methodstr

Invokes the passed method name of the passed estimator.

column_indicesndarray, optional

Indices of columns to select. The default (None) is to select all columns.

Returns:

predictionsarray-like or list of array-like

If test is an array, it returns the array-like result of calling ‘estimator.method’ on test. Otherwise, if test is a list of arrays, it returns the list of array-like results of calling ‘estimator.method’ on each test set in test.