Open exalate-issue-sync[bot] opened 1 year ago
JIRA Issue Migration Info
Jira Issue: PUBDEV-7545 Assignee: UNASSIGNED Reporter: Juan Telleria State: Open Fix Version: Backlog Attachments: Available (Count: 1) Development PRs: N/A
Attachments From Jira
Attachment Name: cv1-1.png Attached By: Juan Telleria File Link:https://h2o-3-jira-github-migration.s3.amazonaws.com/PUBDEV-7545/cv1-1.png
!cv1-1.png|width=200,height=183!
Would it be possible to implement Time Series K-Fold Cross-Validation?
For example:
With a Time Series Training/Validation Interval which goes from 2017-01-01 to 2019-12-31:
The process is repeated iteratively:
And so successively.
Some theoretical context: [https://robjhyndman.com/hyndsight/tscv/|https://robjhyndman.com/hyndsight/tscv/] [https://www.sciencedirect.com/science/article/abs/pii/S0167947317302384|https://www.sciencedirect.com/science/article/abs/pii/S0167947317302384]
Some scikit-learn context: [https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.TimeSeriesSplit.html|https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.TimeSeriesSplit.html]
How would be used?:
In addition, some further regression forecast that could be added to our H2O Tree Model, in order to benefit from its regularisation, and use it as an ensemble for a large number of forecasts:
Currently I apply previous strategies manually for my Time Series Projects, but is always nice to see those automated, so that others can benefit.