numeraire.baselines.HistoricalMean

class numeraire.baselines.HistoricalMean(*, window: int | None = None)

Bases: object

The prevailing-historical-mean forecaster (Goyal-Welch benchmark).

Parameters:

window – Trailing window (in calendar steps) for the mean; None (default) is the expanding prevailing mean — the same quantity the walk-forward engine uses as its OOS R^2 benchmark.

__init__(*, window: int | None = None) → None

Methods

__init__(*[, window])
fit(view)