fynance.neural_networks.RollAggrMultiNeuralNet.aggregate

RollAggrMultiNeuralNet.aggregate(mat_pred, y, t=0, t_s=-1)

Method to aggregate predictions from several neural networks.

Parameters:

mat_pred : np.ndarray[np.float32, ndim=2] with shape=(T, n_NN)

Several time series of neural networks predictions.

y : np.ndarray[np.float32, ndim=2] with shape=(T, 1)

Time series of target to estimate or predict.

t : int, optional

First observation, default is first one.

t_s : int, optional

Last observation, default is last one.

Returns:

ramnn : RollAggrMultiNeuralNet