Guillaume Coqueret

There is no outside reference. Ensembling (like ML in general) is a cooking recipe. In the book we test several recipes and in this chapter, they do not work too...

Hi Mike, it's defined in the Data chapter: features_short

Thanks for the feedback! I've checked again, and it seems ok to me, given the 2 factor in front of the sum...

True, but I prefer to take the simpler case when the loss is quadratic (easier to follow I find). And for a quadratic loss, the Hessian is constant. That's why...

Hi Mislav! I'm afraid I'm not clear enough in the book... **cross-section**: take a fixed time & fixed characteristic, say, size (Market Cap). What you want it to make sure...

Hi Mislav, yes, this often happens when there are"**atoms**" at the beginning and the end of the distribution, I guess in your case it comes from the prior winsorization. One...