Quantco / Quantco/glum

Negative weights

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Dominant language
Python
Stars
386
Forks
36
Avg merge
23h 24m
Merged PRs (30d)
2

Description

Is there a reason for which we forbid negative weights (ref)? Some IV weighting schemes use negative weights to isolate compliers.

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First steps

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  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start with the validation referenced in src/glum/_glm.py around line 173 and trace how weights are handled. Investigate the implications of allowing negative weights for IV weighting schemes, then define whether support is intended and what tests or documentation would establish the decision as complete.

Written by the indexing model from the issue text.

Assessment

Tech stack
python
Domain
machine-learning
Issue type
Feature
Difficulty
4/5
Estimated time
3-5 days
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
25/100

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