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resampling #6

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3 of 5 tasks
m-muecke opened this issue Aug 10, 2024 · 0 comments
Open
3 of 5 tasks

resampling #6

m-muecke opened this issue Aug 10, 2024 · 0 comments
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@m-muecke
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m-muecke commented Aug 10, 2024

resampling methods to add:

  • time series holdout
  • time series rolling window cross-validation
  • time series expanding window cross-validation

further todos:

  • documentation for holdout
  • documentation for cross-validation

Notes:

  • perhaps split cross-validation into expanding/rolling window and sliding/fixed window cross validation since both are in forecast_cv
  • the current implementation is based on sorting the ids of the task, will have to see if this logic holds otherwise I see two options: either the user is on his own and data is already sorted or better sort the data based on the date column, perhaps as well on a key index in case that will be supported. Perhaps only support this in the as_task_fcst() functions and no the more low level once.

PR of old mlr3 implementation that is based on an ordered task with date column: mlr-org/mlr3#633

@m-muecke m-muecke self-assigned this Aug 10, 2024
@m-muecke m-muecke changed the title perhaps split cross-validation into expanding/rolling window and sliding/fixed window cross validation resampling Aug 13, 2024
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