fintech-algorithms
/
Using a coding agent? Give it the skill: npx skills add IslamBaraka90/Fintech-Algorithms-Library What it does →

Leakage-Free Fitting, Scaling, and Preprocessing

Install and import#

bash
npm install fintech-algorithms
ts
import { leakageFreeFittingScalingAndPreprocessing } from "fintech-algorithms/financial-mathematics-statistics-and-data-foundations/statistical-computing-and-reproducibility/leakage-free-fitting-scaling-and-preprocessing";

Signature#

leakageFreeFittingScalingAndPreprocessing(input)

Worked example#

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input#

input
{
  "values": [1, 2, 3, 4, 5],
  "floatingValue": 0.1,
  "maxSafeMagnitude": 1.7976931348623157e+308,
  "window": 3,
  "rawValues": [1, null, 2, "bad", 3],
  "invalidPolicy": "drop-and-report",
  "seed": 42,
  "sampleCount": 5,
  "leftVector": [
    {
      "index": "A",
      "value": 1
    },
    {
      "index": "B",
      "value": 2
    }
  ],
  "rightVector": [
    {
      "index": "B",
      "value": 20
    },
    {
      "index": "C",
      "value": 30
    }
  ],
  "train": [10, 12, 14, 16],
  "test": [18, 20],
  "actual": [1, 2.0000001, 3],
  "expected": [1, 2, 3]
}

Showing 14 of 18 fields.

Call#

leakageFreeFittingScalingAndPreprocessing(input)

Returns#

object with 2 fields: fittedMean, fittedScale

{
  "fittedMean": 13,
  "fittedScale": 2.581988897471611
}

Diagrams#

Leakage-Free Fitting, Scaling, and Preprocessing — article hero
Leakage-Free Fitting, Scaling, and Preprocessing — calculation ledger
Leakage-Free Fitting, Scaling, and Preprocessing — concept anatomy
Leakage-Free Fitting, Scaling, and Preprocessing — failure boundary
Leakage-Free Fitting, Scaling, and Preprocessing — method map
Leakage-Free Fitting, Scaling, and Preprocessing — scenario contrast

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

The rest of the Statistical Computing and Reproducibility family#