deploy: ckarag/academic-kickstart@e8ae328

bmnr/models.csv

@@ -0,0 +1,21 @@
+Acronym,Model Description
+"AR(P)","Autoregressive iterated-specification"
+"RW","Random walk"
+"ARDI(K,BIC)","Autoregressive diffusion indices with K factors. Optimal lag-order via BIC"
+"T.ARDI(K,BIC)","ARDI with target-factors. Hard-threshold set to |t-stat|>1.96"
+"BVAR-Minn","Homoscedastic large Bayesian VAR"
+"BVAR-CSV","Large Bayesian VAR with heteroscedastic innovations"
+"BBoost","Quadratic-loss L2 boosting, block-wise"
+"CBoost","Quadratic-loss L2 boosting, component-wise"
+"CSR","Complete Subset Regressions (20C4) with hard-thresholding preselection"
+"Bag","Linear bagging with hard-thresholding preselection"
+"BTree","Boosting regression trees"
+"RF","Random forests"
+"SVR","Support vector machine regression with Gaussian Kernel function"
+"Ridge","Ridge regression"
+"LASSO","Least absolute shrinkage and selection operator with BIC for lambda"
+"AdaLASSO","Adaptive LASSO"
+"EN","Elastic Net"
+"AdaEN","Adaptive EN"
+"LSTM","Long-short-term memory RNN with 3-hidden layers"
+"SgLASSO","Sparse-group-LASSO-MIDAS with block-K-fold CV for lambda & alpha"

bmnr/results.csv

@@ -1,86 +1,86 @@
 Models,n=0,n=1,n=2,n=3,n=4,avg
-Bag-D3,0.728332192331202,0.932014795258418,0.971647513073489,0.998012423301907,0.994387426665668,0.924878870126137
-CSR-D2,0.707467218665457,0.93809066070506,0.976337980951085,1.00021949830448,1.00434158982109,0.925291389689434
-BBoost-D1F,0.724599612368521,0.924629988170019,0.977540806255768,1.00585305652258,1.00138984500882,0.92680266166514
-Bag-D2F,0.772082421729186,0.910240931753802,0.967154334491486,0.994371742627846,0.998752034787106,0.928520293077885
-Ridge-D1,0.764452959576808,0.924032808048014,0.95825611161833,0.996078398938869,1.00093789464989,0.928751634566381
-Ridge-D2,0.741766549119286,0.926393646278102,0.971853145225267,1.00076789740253,1.0048247921359,0.929121206032218
-Bag-D2,0.766542876139499,0.921291214604081,0.968701835070545,0.993457862675929,1.00196047916372,0.930390853530756
-T.ARDI(2),0.74518381757044,0.92930918121252,0.975402092141944,1.00249192383017,1.00656305083848,0.931790013118709
-Bag-D1F,0.759094034614202,0.925326967373882,0.969664482538132,1.00459085376306,1.00060695919512,0.931856659496879
-Bag-D1,0.782598111995561,0.917583595105918,0.961378682246583,0.996216195688481,1.00210616509478,0.931976550026265
-CSR-D1,0.75810017090141,0.933881637932026,0.974067531770235,1.00435916728513,1.0085513027622,0.9357919621302
-Ridge-D3,0.790771782650294,0.921256932957152,0.968720497723239,1.00442283640012,1.00258044650097,0.937550499246356
-RF-D1F,0.816466611502763,0.917235900026728,0.966296699554291,0.995483014481346,0.992326593672387,0.937561763847503
-Ridge-D2F,0.807744978229281,0.91266521154945,0.967533548603804,0.999193158538889,1.00356521285472,0.938140421955228
-CBoost-D1F,0.773323683435238,0.925181261923768,0.98288979000087,1.00968312367158,1.00110708087545,0.938436987981382
-SVR-D1,0.824746452434839,0.919277601467568,0.963999985865605,0.991698132852486,0.995094108963213,0.938963256316742
-LASSO-D1F,0.787406976947266,0.929910639419898,0.977923250186209,1.00164074549919,0.998693946764309,0.939115111763374
-AdaLASSO-D1F,0.781204486941875,0.936549424687395,0.980046781247979,1.00335935809904,0.99797825491786,0.93982766117883
-RF-D1,0.80438009494998,0.923937710910793,0.970687452857236,0.999046772796429,1.00297955357299,0.940206317017486
-Bag-D3F,0.816100084289783,0.916795178324462,0.97228929988643,1.00474360092031,0.992709161210642,0.940527464926325
-EN-D2F,0.816464365048841,0.920909362792039,0.968742786677224,0.999103463669106,1.00079193232798,0.941202382103038
-EN-D1F,0.799285066126095,0.927502744000968,0.978233177433903,1.0010601171938,1.00003390810263,0.941223002571478
-SVR-D3,0.827221935090654,0.919765477461636,0.969688804967961,0.994715030956218,0.997330431480195,0.941744335991333
-RF-D3,0.812312636502869,0.935631641382958,0.969247467439963,0.993772069668322,1.00093591448993,0.942379945896809
-ARDI(1),0.79934513886139,0.939342178869088,0.974569290809895,0.998849704336268,1.00081739331235,0.942584741237798
-CBoost-D2F,0.821454154285997,0.919805644040688,0.965302440460929,0.998848939556924,1.00807875918137,0.942697987505181
-BBoost-D2F,0.836416334314133,0.911570958742831,0.967410391353516,0.998013129378196,1.00017199153888,0.94271656106551
-SVR-D3F,0.831059195027836,0.914374599733684,0.972271680480814,0.99520005848819,1.00125494265,0.942832095276105
-SVR-D2,0.827797431898846,0.9231664874498,0.970719286760149,0.9965718541216,0.997070481817629,0.943065108409605
-AdaEN-D2,0.765825830054528,0.946865828902226,0.976526045992749,1.00267535441527,1.02403801623143,0.94318621511924
-EN-D2,0.776632905336791,0.971205653787319,0.977930599185636,0.996368912163474,0.994256484337158,0.943278910962075
-RF-D2,0.81559527523812,0.925260497384121,0.975822304857112,1.00066015686294,1.00002184206659,0.943472015281775
-LASSO-D2F,0.831264601041464,0.920022142455046,0.969180877921869,0.997640099028626,0.999571900887555,0.943535924266912
-AdaEN-D1F,0.802134620461185,0.933504531495069,0.981032152295892,1.0020541543403,0.999644729736125,0.943674037665713
-SVR-D1F,0.826862559910446,0.92118449229787,0.971461818320642,0.998568719103404,1.00048836223792,0.943713190374057
-CSR-D2F,0.824088149964711,0.928100278586829,0.970008813061911,0.997093658374415,0.999888501667103,0.943835880330994
-SVR-D2F,0.831129669270594,0.92457506546586,0.972228560300211,0.996055937838391,0.995281882053278,0.943854222985667
-RF-D2F,0.826987618438805,0.928914217373298,0.971674463742516,0.99774044874009,0.994787876056765,0.944020924870295
-BTree-D1F,0.811312611876265,0.923304985724509,0.975264142885423,1.00247900646089,1.00791885722359,0.944055920834134
-AdaEN-D2F,0.833555319525817,0.926269413506121,0.964829116932856,0.998940087173867,1.00193510091515,0.945105807610762
-AdaLASSO-D2F,0.839785730132218,0.922238213460847,0.965624303079236,0.998306344027935,1.00105634663781,0.94540218746761
-AdaLASSO-D2,0.764898663931414,0.954119088694757,0.978843404889248,0.997826397851449,1.03395049726353,0.945927610526079
-LSTM-D1F,0.84543186615528,0.917620222427029,0.967919937282982,1.00498546788876,0.993775642780827,0.945946627306976
-ARDI(2),0.798175846801286,0.946817509793516,0.977907521201455,1.000913954537,1.00835956501727,0.946434879470105
-EN-D3,0.833775080561525,0.923516355638086,0.975145740234404,0.999740994967258,1.00047015073365,0.946529664426985
-CSR-D3,0.813837546110864,0.931409476765356,0.980294935291871,1.00457525339305,1.0027714784932,0.946577738010869
-RW,0.838581724807954,0.921225136302331,0.975067016483639,0.999434782254417,0.999476166070226,0.946756965183713
-LSTM-D2F,0.844420163800468,0.92805556566317,0.966050618815734,0.999597719946871,0.996760897576903,0.946976993160629
-LASSO-D2,0.780168312429594,0.979604682033833,0.982957216981092,0.999631650988595,0.996603688753286,0.94779311023728
-BVAR-CSV,0.810780482468663,0.925536667961337,0.979830177338485,1.01161083554533,1.01286595802444,0.948124824267652
-RF-D3F,0.844491812622079,0.934134620131965,0.975843252795674,0.990947994484055,1.00105013367766,0.949293562742288
-T.ARDI(1),0.813767631622494,0.948318305297432,0.9750983137938,1.00465606934301,1.00679878730208,0.949727821471763
-AdaEN-D1,0.816658339902044,0.930646607864529,0.991426142008652,1.00729087146933,1.00268584956679,0.94974156216227
-BBoost-D3F,0.865336072359671,0.906212422880481,0.972547924379895,1.00550675232473,1.00148666653085,0.950217967695126
-AdaEN-D3,0.847726906054347,0.927748796392819,0.975534723225869,0.999737027400192,1.00175491124003,0.950500472862651
-LSTM-D3F,0.851167870114729,0.926320278305051,0.972143020038868,0.99370854481173,1.01265350458247,0.95119864357057
-SgLASSO-D3,0.849048905187828,0.924516033556406,0.977688576497845,1.00323923392565,1.00484616651545,0.951867783136636
-SgLASSO-D3F,0.860611894647891,0.911899469445898,0.976772836507864,1.01103615121569,1.00332228385609,0.952728527134687
-CSR-D1F,0.876563839748016,0.92483096201205,0.970492142678255,0.99825394379491,0.998576173233821,0.953743412293411
-EN-D1,0.808901554692812,0.93594808698153,0.944061611445234,1.04454774877961,1.03558724185353,0.953809248750542
-BTree-D1,0.811928689979658,0.933202274707267,0.988109853341928,1.01491929260013,1.02441309111548,0.954514640348893
-AdaEN-D3F,0.88262458868815,0.923861907868804,0.968225026496494,1.00102822766571,0.999025758821397,0.954953101908112
-LSTM-D3,0.858260771734783,0.93197003538244,0.977515034396616,1.00532370745053,1.00351910116704,0.955317730026282
-BVAR-Minn,0.850056191944553,0.933102118289295,0.973754833208903,1.01239403074473,1.01458079147139,0.956777593131774
-EN-D3F,0.890998766536911,0.92579368834146,0.971185441241413,0.999906140278263,0.999439638573219,0.957464734994253
-CBoost-D3F,0.853883993988842,0.93605562082667,0.9845833304544,1.01304478213284,1.00089093068768,0.957691731618088
-LSTM-D1,0.866113936143262,0.935967281015055,0.97778638196456,1.0021098160706,1.01340292008676,0.959076067056048
-CSR-D3F,0.889826927894386,0.937928357555942,0.970407860900295,1.0013709673637,0.99693215733281,0.959293254209426
-LASSO-D3F,0.903170226333011,0.921452655638421,0.971275433487264,1.00038489082641,1.00320461789681,0.959897564836382
-AdaLASSO-D3F,0.893253008070758,0.929049373597604,0.971049811506319,1.00253033352995,1.00382712989223,0.959941931319374
-BTree-D2F,0.849992136933311,0.953952572315558,0.99144773994162,1.01725247147362,0.99695989671685,0.961920963476192
-LSTM-D2,0.86769142189597,0.943190009005604,0.985507539102415,1.01689833856156,0.998994918838402,0.962456445480791
-BTree-D2,0.83901507363016,0.951791692465079,0.99416100659491,1.01195692610285,1.01628960891839,0.962642861542278
-Ridge-D3F,0.802324555713755,0.940514045016048,1.01749032504786,1.04636480193093,1.03257307941066,0.967853361423849
-AdaLASSO-D1,0.829541379241073,0.946659536424266,1.01922776042162,1.03744611258815,1.02233884108172,0.971042725951366
-BTree-D3,0.851409958261356,0.987819057529627,0.99023882810392,1.01613556830427,1.02128939016279,0.973378560472392
-Ridge-D1F,0.778545842763171,0.95944893270872,1.0258212191622,1.06007758824638,1.05375280863434,0.975529278302963
-LASSO-D3,0.831877224020084,0.93217943936234,1.0182514774495,1.06004508408044,1.05634503411034,0.97973965180454
-AdaLASSO-D3,0.833811896056004,0.945292991656175,1.03046919735918,1.06491974611469,1.05972928744455,0.98684462372612
-LASSO-D1,0.774317179454463,1.00687599555564,0.987150255448693,1.10189839699888,1.0735557342454,0.988759512340616
-BTree-D3F,0.879589378812693,1.03065128093582,0.999146029461657,1.01033361176194,1.03281182267413,0.990506424729248
-AR(BIC),1.00791637902009,1.00325153259991,1.00040041536644,1.0008322720581,0.999728179711753,1.00242575575126
-AR(CV),1.01970780662181,1.00373264154207,1.00034128399859,1.00128857219709,0.999346213749174,1.00488330362175
-AR(4),1.04929781916048,1.01668005579226,1.00163515398249,0.999319591513728,0.999165018719216,1.01321952783363
+Bag-D3,0.728,0.932,0.972,0.998,0.994,0.925
+CSR-D2,0.707,0.938,0.976,1,1.004,0.925
+BBoost-D1F,0.725,0.925,0.978,1.006,1.001,0.927
+Bag-D2F,0.772,0.91,0.967,0.994,0.999,0.929
+Ridge-D1,0.764,0.924,0.958,0.996,1.001,0.929
+Ridge-D2,0.742,0.926,0.972,1.001,1.005,0.929
+Bag-D2,0.767,0.921,0.969,0.993,1.002,0.93
+T.ARDI(2),0.745,0.929,0.975,1.002,1.007,0.932
+Bag-D1F,0.759,0.925,0.97,1.005,1.001,0.932
+Bag-D1,0.783,0.918,0.961,0.996,1.002,0.932
+CSR-D1,0.758,0.934,0.974,1.004,1.009,0.936
+Ridge-D3,0.791,0.921,0.969,1.004,1.003,0.938
+RF-D1F,0.816,0.917,0.966,0.995,0.992,0.938
+Ridge-D2F,0.808,0.913,0.968,0.999,1.004,0.938
+CBoost-D1F,0.773,0.925,0.983,1.01,1.001,0.938
+SVR-D1,0.825,0.919,0.964,0.992,0.995,0.939
+LASSO-D1F,0.787,0.93,0.978,1.002,0.999,0.939
+AdaLASSO-D1F,0.781,0.937,0.98,1.003,0.998,0.94
+RF-D1,0.804,0.924,0.971,0.999,1.003,0.94
+Bag-D3F,0.816,0.917,0.972,1.005,0.993,0.941
+EN-D2F,0.816,0.921,0.969,0.999,1.001,0.941
+EN-D1F,0.799,0.928,0.978,1.001,1,0.941
+SVR-D3,0.827,0.92,0.97,0.995,0.997,0.942
+RF-D3,0.812,0.936,0.969,0.994,1.001,0.942
+ARDI(1),0.799,0.939,0.975,0.999,1.001,0.943
+CBoost-D2F,0.821,0.92,0.965,0.999,1.008,0.943
+BBoost-D2F,0.836,0.912,0.967,0.998,1,0.943
+SVR-D3F,0.831,0.914,0.972,0.995,1.001,0.943
+SVR-D2,0.828,0.923,0.971,0.997,0.997,0.943
+AdaEN-D2,0.766,0.947,0.977,1.003,1.024,0.943
+EN-D2,0.777,0.971,0.978,0.996,0.994,0.943
+RF-D2,0.816,0.925,0.976,1.001,1,0.943
+LASSO-D2F,0.831,0.92,0.969,0.998,1,0.944
+AdaEN-D1F,0.802,0.934,0.981,1.002,1,0.944
+SVR-D1F,0.827,0.921,0.971,0.999,1,0.944
+CSR-D2F,0.824,0.928,0.97,0.997,1,0.944
+SVR-D2F,0.831,0.925,0.972,0.996,0.995,0.944
+RF-D2F,0.827,0.929,0.972,0.998,0.995,0.944
+BTree-D1F,0.811,0.923,0.975,1.002,1.008,0.944
+AdaEN-D2F,0.834,0.926,0.965,0.999,1.002,0.945
+AdaLASSO-D2F,0.84,0.922,0.966,0.998,1.001,0.945
+AdaLASSO-D2,0.765,0.954,0.979,0.998,1.034,0.946
+LSTM-D1F,0.845,0.918,0.968,1.005,0.994,0.946
+ARDI(2),0.798,0.947,0.978,1.001,1.008,0.946
+EN-D3,0.834,0.924,0.975,1,1,0.947
+CSR-D3,0.814,0.931,0.98,1.005,1.003,0.947
+RW,0.839,0.921,0.975,0.999,0.999,0.947
+LSTM-D2F,0.844,0.928,0.966,1,0.997,0.947
+LASSO-D2,0.78,0.98,0.983,1,0.997,0.948
+BVAR-CSV,0.811,0.926,0.98,1.012,1.013,0.948
+RF-D3F,0.844,0.934,0.976,0.991,1.001,0.949
+T.ARDI(1),0.814,0.948,0.975,1.005,1.007,0.95
+AdaEN-D1,0.817,0.931,0.991,1.007,1.003,0.95
+BBoost-D3F,0.865,0.906,0.973,1.006,1.001,0.95
+AdaEN-D3,0.848,0.928,0.976,1,1.002,0.951
+LSTM-D3F,0.851,0.926,0.972,0.994,1.013,0.951
+SgLASSO-D3,0.849,0.925,0.978,1.003,1.005,0.952
+SgLASSO-D3F,0.861,0.912,0.977,1.011,1.003,0.953
+CSR-D1F,0.877,0.925,0.97,0.998,0.999,0.954
+EN-D1,0.809,0.936,0.944,1.045,1.036,0.954
+BTree-D1,0.812,0.933,0.988,1.015,1.024,0.955
+AdaEN-D3F,0.883,0.924,0.968,1.001,0.999,0.955
+LSTM-D3,0.858,0.932,0.978,1.005,1.004,0.955
+BVAR-Minn,0.85,0.933,0.974,1.012,1.015,0.957
+EN-D3F,0.891,0.926,0.971,1,0.999,0.957
+CBoost-D3F,0.854,0.936,0.985,1.013,1.001,0.958
+LSTM-D1,0.866,0.936,0.978,1.002,1.013,0.959
+CSR-D3F,0.89,0.938,0.97,1.001,0.997,0.959
+LASSO-D3F,0.903,0.921,0.971,1,1.003,0.96
+AdaLASSO-D3F,0.893,0.929,0.971,1.003,1.004,0.96
+BTree-D2F,0.85,0.954,0.991,1.017,0.997,0.962
+LSTM-D2,0.868,0.943,0.986,1.017,0.999,0.962
+BTree-D2,0.839,0.952,0.994,1.012,1.016,0.963
+Ridge-D3F,0.802,0.941,1.017,1.046,1.033,0.968
+AdaLASSO-D1,0.83,0.947,1.019,1.037,1.022,0.971
+BTree-D3,0.851,0.988,0.99,1.016,1.021,0.973
+Ridge-D1F,0.779,0.959,1.026,1.06,1.054,0.976
+LASSO-D3,0.832,0.932,1.018,1.06,1.056,0.98
+AdaLASSO-D3,0.834,0.945,1.03,1.065,1.06,0.987
+LASSO-D1,0.774,1.007,0.987,1.102,1.074,0.989
+BTree-D3F,0.88,1.031,0.999,1.01,1.033,0.991
+AR(BIC),1.008,1.003,1,1.001,1,1.002
+AR(CV),1.02,1.004,1,1.001,0.999,1.005
+AR(4),1.049,1.017,1.002,0.999,0.999,1.013
 AR(1),NaN,NaN,NaN,NaN,NaN,NaN

bmnr/transformations.csv

@@ -0,0 +1,4 @@
+Acronym,Transformation Description
+D1,Down-sampling to Quarterly  (Temporal aggregation with equal-weights)
+D2,Unrestricted MIDAS Polynomials
+D3,Legendre Polynomials (3rd degree)