Cross-validation tools for time series


#1

In case it is of interest to anybody, I released a python package implementing two cross-validation algorithms suitable for machine learning models dealing with time series. More information can be found in the following Medium post:


Gihub repo:

Samuel


#2

Interesting, I’ll have to look at the git. I think I actually came across your Medium post yesterday or Friday when doing a Google search. I posted a generic ML algo here a month or so ago (basically copied and ported from Quantopian forums) not knowing anything about ML, but I’ve been learning a lot more as I go along, and realizing that I was missing the time series element was one of my more recent discoveries.