Jan 2, 2020 in Data Science
Q: What cross-validation technique would you use on a time series data set?

1 Answer

0 votes
Jan 2, 2020

Instead of using k-fold cross-validation, you should be aware of the fact that a time series is not randomly distributed data — It is inherently ordered by chronological order.

In case of time series data, you should use techniques like forward=chaining — Where you will be model on past data then look at forward-facing data.

fold 1: training[1], test[2]

fold 1: training[1 2], test[3]

fold 1: training[1 2 3], test[4]

fold 1: training[1 2 3 4], test[5]

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