forecast_combine.py:
The function calculation_of_raw_estimated_monthly_forecast_weights(instrument) returns the forecast weights for each fit period. By default, the fit periods are annual (frequency = 12M), so the resulting forecast weights are also annual, with one set of weights produced per fit period. Since the inputs are flexible, the function can also calculate forecast weights for other frequencies. As a result, the term “monthly” in the function name is misleading and could be removed for greater accuracy.
forecast_combine.py:
The function
calculation_of_raw_estimated_monthly_forecast_weights(instrument)returns the forecast weights for each fit period. By default, the fit periods are annual (frequency = 12M), so the resulting forecast weights are also annual, with one set of weights produced per fit period. Since the inputs are flexible, the function can also calculate forecast weights for other frequencies. As a result, the term “monthly” in the function name is misleading and could be removed for greater accuracy.