h2oai / h2o-3

H2O is an Open Source, Distributed, Fast & Scalable Machine Learning Platform: Deep Learning, Gradient Boosting (GBM) & XGBoost, Random Forest, Generalized Linear Modeling (GLM with Elastic Net), K-Means, PCA, Generalized Additive Models (GAM), RuleFit, Support Vector Machine (SVM), Stacked Ensembles, Automatic Machine Learning (AutoML), etc.
http://h2o.ai
Apache License 2.0
6.9k stars 2k forks source link

Feature Request: Time Series Cross-Validation #8093

Open exalate-issue-sync[bot] opened 1 year ago

exalate-issue-sync[bot] commented 1 year ago

!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.

h2o-ops commented 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