Crossvalscore

[thierrymoudiki]

• Copula simulation for time series residuals in classes MTS and DeepMTS
  • based on copulas for in-sample residuals: vine-tll (default), vine-bb1, vine-bb6, vine-bb7, vine-bb8, vine-clayton, vine-frank, vine-gaussian, vine-gumbel, vine-indep, vine-joe, vine-student
  • based on copulas for calibrated residuals: scp-vine-tll (default), scp-vine-bb1, scp-vine-bb6, scp-vine-bb7, scp-vine-bb8, scp-vine-clayton, scp-vine-frank, scp-vine-gaussian, scp-vine-gumbel, scp-vine-indep, scp-vine-joe, scp-vine-student
  • based on copulas for standardized calibrated residuals: scp2-vine-tll, scp2-vine-bb1, scp2-vine-bb6, scp2-vine-bb7, scp2-vine-bb8, scp2-vine-clayton, scp2-vine-frank, scp2-vine-gaussian, scp2-vine-gumbel, scp2-vine-indep, scp2-vine-joe, scp2-vine-student
• cross_val_score: time series cross-validation for MTS and DeepMTS