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Improve QRA #94

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nikosbosse opened this issue Feb 18, 2021 · 3 comments
Open

Improve QRA #94

nikosbosse opened this issue Feb 18, 2021 · 3 comments

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@nikosbosse
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A few current issues with the QRA:

  • failure to run with too few data points or too many models. This leads to infite runtime
  • sometimes no sensible weights are estimated

What we could do:

  • look through what is happening in detail and why
  • set a maximum to the quantgen runtime to make sure it doesn't run indefinitely
  • look at the grid of horizons that go into QRA and make sure there are always enough data points to estimate weights
  • implement a flag that alerts us if something goes wrong when computing QRA weights
  • implement an automatic fallback to equal weights (or the NULL model?) whenever something goes wrong
@seabbs
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seabbs commented Feb 18, 2021

Related to #91

@seabbs
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seabbs commented Feb 18, 2021

Another option is to change package or method. For example quantreg.

@sbfnk
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sbfnk commented Feb 18, 2021

And/or raising these as issues in https://github.com/ryantibs/quantgen

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