When modeling time series data how do we give more weight to more recent data?


#1

I did some research on this, it turned out that Xgboost has a parameter sample_weight_eval_set (list, optional) that we can pass in, but I can’t seem to find an example for this parameter, can someone please share ?
In addition, how do we in general assign more weight to more recent data points when modeling time series data ?
Thank you very much in advance !