Qu'est-ce que « Sample weight, time-decay weight » ?

A sample weight $\omega_i\ge0$ scales observation $i$’s term in the empirical loss, $\mathcal L_n(\theta) = \sum_i\omega_i\ell(y_i, f_\theta(x_i))/\sum_i\omega_i$. Three are common on market data: uniqueness weights $\omega_i = \bar u_i$; return-attribution weights, $\omega_i\propto|\sum_{t\in i}R_t/c_t|$, which favour labels whose moves they own; and a time-decay weight, which falls linearly from 1 for the newest label to a floor for the oldest, in units of cumulative uniqueness, so that old data count less.