Hyperparameter Tuning for the MacroBoost Hybrid Filter1 months ago
1 Anatomy of the MBH Trifecta | 1.1 mstop — iteration budget | 1.2 nu — shrinkage | 1.3 knots — spline flexibility | 2 Auto-calibration of Huber Delta d | 2.1 Scale invariance | 2.2 Scale-mismatch warning for log-level input | 3 Overriding d for High-Volatility Series | 4 Computational Trade-off Benchmark | Practical guidance | 5 Summary
