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create both sample_weight and freq_weight for fit #439

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Merged
merged 6 commits into from
Mar 31, 2021
Merged

create both sample_weight and freq_weight for fit #439

merged 6 commits into from
Mar 31, 2021

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heimengqi
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@heimengqi heimengqi commented Mar 23, 2021 •
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  • Make StatsmodelsLinearRegresssion allow fractional weight for each individual sample, which is sample_weight. Rename the weights used as the count of observations for corresponding sample_var as freq_weight.
  • For all the child classes inherit from _OrthoLearner, only expose freq_weight and sample_weight when the final stage is StatsmodelsLinearRegression or its parent class.
  • Fix a few places to make sure it works consistently with un-summarized data when both weights exist.

vsyrgkanis
vsyrgkanis reviewed Mar 23, 2021
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@heimengqi heimengqi changed the title change StatsmodelsLinearRegression to allow fractional weight create both sample_weight and freq_weight for fit Mar 27, 2021
vsyrgkanis
vsyrgkanis approved these changes Mar 28, 2021
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kbattocchi
kbattocchi approved these changes Mar 29, 2021
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Looks good, I've mostly just suggested some minor tweaks to some of the docstrings

@heimengqi heimengqi merged commit 9630421 into master Mar 31, 2021
@heimengqi heimengqi deleted the mehei/fractionalweight branch March 31, 2021 16:56
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@kbattocchi kbattocchi kbattocchi approved these changes

@vsyrgkanis vsyrgkanis vsyrgkanis approved these changes

@moprescu moprescu Awaiting requested review from moprescu

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@heimengqi @kbattocchi @vsyrgkanis