Adding purged cross-validation for time series datasets #115
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jaor
approved these changes
May 23, 2025
| - The second, third and fourth steps are repeated with each of the k parts, | ||
| so that k evaluations are generated | ||
| - Finally, the evaluation metrics are averaged to provide the cross-validation | ||
| metrics. |
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just a note outside the scope of this PR: it'd be nice if in the metadata's description we could use a pointer to a file, something like:
"description": {"file": "./readme.md"}
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| # Script for purged k-fold cross-validation | |||
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| The objective of this script is create a purged k-fold cross validation | |||
| # Script for purged k-fold cross-validation | ||
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| The objective of this script is create a purged k-fold cross validation | ||
| starting form any classification model |
| " predict " (if regression? "regressions" | ||
| "classifications") | ||
| ".") | ||
| "code" 106})))) |
| (and (= model-type "linearregression") (not regression?)))) | ||
| (when error | ||
| (raise {"message" (str "The " model-type " cannot be used to" | ||
| " predict " (if regression? "regressions" |
| batch (round (/ rows k-folds)) | ||
| k-fold-fn (lambda (x) | ||
| (log-info "range" (str (+ 1 (* x batch))) (str (+ 1 (* (+ x 1) batch)))) | ||
| (create-dataset {"origin_dataset" dataset-id |
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i would define a variable for range in the let, instead of computing it twice
| pruning-rows (round (* (/ rows 100) 7.5))) | ||
| (log-info "range" (str (+ 1 pruning-rows)) (str (- rows pruning-rows 1))) | ||
| (create-dataset {"origin_dataset" ds-id | ||
| "range" [(+ 1 pruning-rows) (- rows pruning-rows 1)]}))) |
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same thing about defining a variable for range (there could even be a function for computing it)
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| The following script performs a k-fold cross-validation compatible with time | ||
| series datasets. Test datasets are created by sampling linearly the original | ||
| dataset and some data is removed from the test dataset edges to avoid leakage. |
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maybe it is worth mentioning what a dataset "edge" is, unless it's pretty common terminology in this context (i for one don't know what it is :))
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