Skip to main content

weighted_holdout_mae

Function weighted_holdout_mae 

Source
pub fn weighted_holdout_mae(
    preds: &[u64],
    actuals: &[u64],
    weights: &[f64],
) -> f64
Expand description

Weighted MAE for the holdout slice. Each holdout sample carries its recency weight w_i = 2^(-age_i / (n/2)) where n is the full window length, so the gate emphasizes the recent regime without dropping the older tail entirely.