Time Series Cross Validation

[mdancho84]

Add time series cross validation. https://github.com/FBruzzesi/timebasedcv

• TimeSeriesCV(): https://business-science.github.io/pytimetk/reference/TimeSeriesCV.html
• TimeSeriesCVSplitter(): https://business-science.github.io/pytimetk/reference/TimeSeriesCVSplitter.html
• Tutorial

[mdancho84]

FBruzzesi/timebasedcv#41

[joaopcnogueira]

Hi! I am using a lot pytimetk in one of my current project, even rewrote the entire codebase with it and it is really saving me a lot! Thank you!

Also, today I am trying to implement time series cross validation and found out that pytimetk also provides this, which is really nice. But, in my case I have a frequency of month (MS), which it seems is not supported yet.

Is there actually any work around to make it works?

[mdancho84]

Excellent! Glad you are enjoying it.

We are working on support for month, quarter and year frequency.

Until then you should be able to use "days" and specify in terms of number of days (by multiplying by 30).

[joaopcnogueira]

Nice, thank you very much!