purged_k_CV: Purged k-fold CV with embargo

In larryleihua/fmlr: Financial Machine Learning using R

Description

Purged k-fold CV with embargo

Usage

purged_k_CV(feaMat, k = 5, gam = 0.01)

Arguments

feaMat	a data.frame for feature matrix with the first column being the label
k	number of folds for k-fold CV
gam	gamma for embargo

Value

a list of k data.frame, each containing a test set and a training set

Author(s)

Larry Lei Hua

Examples

feaMat <- data.frame(Y = c(1,1,0,1,0),
                     V = c(2,4,2,4,1), 
                     t1Fea = c(2,5,8,14,20), 
                     tLabel = c(4,12,16,23,38))
purged_k_CV(feaMat, k=2, gam=0.1)

larryleihua/fmlr documentation built on Jan. 31, 2020, 8:55 a.m.