ts_crossval_simple: Simple time-series cross-validation

In fnoorian/mltsp: Tools for machine-learning based time-series prediction

Description

Simple time-series cross-validation

Usage

ts_crossval_simple(y, func, ..., slices, error_func = rmse, break_err = Inf,
  verbose = FALSE)

Arguments

y	The time-series
func	Forecasting function. See details.
...	Forcasting function
slices	Cross-validation slices, created by create_cv_timeslices
error_func	Error function for reporting cross-validation error.
break_err	If CV error passes this value, cross-validation is prematurely stopped.
verbose	If True, verbose debugging messages are printed out.

Details

func expects a signature of type function(y, h, ...), where y is the time-series to forecast, h is the horizon to forecast, and ... is any other parameter.

Use break_err when you have to evaluate many functions quickly. By setting this value to CV from a known good predictor, bad forecasters can be pruned quickly.

Value

Cross-validation error for the given forecast function

fnoorian/mltsp documentation built on May 16, 2019, 1:48 p.m.