def fit_models_LassoCV(self, X, Y, bands=None):
""" Try to fit models to training period time series """
if bands is None:
bands = self.fit_indices
models = []
for b in bands:
# lasso = LassoCV(n_alphas=100)
# lasso = LassoLarsCV(masx_n_alphas=100)
lasso = LassoLarsIC(criterion='bic')
lasso = lasso.fit(X, Y[b, :])
lasso.nobs = Y[b, :].size
lasso.coef = np.copy(lasso.coef_)
lasso.coef[0] += lasso.intercept_
lasso.fittedvalues = lasso.predict(X)
lasso.rss = np.sum((Y[b, :] - lasso.fittedvalues) ** 2)
lasso.rmse = math.sqrt(lasso.rss / lasso.nobs)
models.append(lasso)
return np.array(models)
