emoen/Machine-Learning-for-Asset-Managers

cMDA

andrewlu2021 opened this issue · 0 comments

For the cMDA function in ch6_feature_importance_analysis.py, should the following code be outside of train test for loop? The mean score is for cross vaildation calcualted on cluster level.

    imp=(-1*scr1).add(scr0,axis=0)
    imp = imp/(-1*scr1)
    imp = pd.concat({'mean':imp.mean(), 'std':imp.std()*imp.shape[0]**-.5}, axis=1)
    imp.index=['C_'+str(i) for i in imp.index]