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rapidsai / cuml

cuML - RAPIDS Machine Learning Library
https://docs.rapids.ai/api/cuml/stable/
Apache License 2.0
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[FEA] HoltWinters - .score() should return gradient logL rather than SSE. #876

Open egoolish opened 5 years ago

egoolish commented 5 years ago

Statsmodels' HoltWinters .score() method returns a vector of the gradient of logL with respect to each parameter.

Currently, cuML HoltWinters (https://github.com/rapidsai/cuml/pull/835) uses the SSE as a measure of fitness, and this SSE is thus returned in the .score() method.

Future iterations of cuML HoltWinters should return gradient logL rather than SSE in .score() in order to better match statsmodels.

cjnolet commented 5 years ago

608