Type Alias WeightedForecast

weightedForecast's answer: the models, the weighted forecast and variance path, its validation and every origin's weights.

type WeightedForecast = {
    conditionalVariance: number[] | null;
    forecast: number[] | null;
    models: readonly WeightedModel[];
    validation: Validation;
    walkForward: readonly WeightedOrigin[];
}

Properties

conditionalVariance: number[] | null

Σ wᵢ·s_t with the as-of weights — the path a regime is read from.

forecast: number[] | null

Σ wᵢ·s_{T+k} over the models with a forecast; null when none has one.

models: readonly WeightedModel[]

validation: Validation

The weighted forecasts walked forward, against the naive baseline.

walkForward: readonly WeightedOrigin[]

Every origin's fits and weights — what a simulation from each origin draws on.