<html><head><meta http-equiv="Content-Type" content="text/html charset=windows-1252"></head><body style="word-wrap: break-word; -webkit-nbsp-mode: space; -webkit-line-break: after-white-space;" class=""><div class="">Hi Andres, hi Andy,</div><div class=""><br class=""></div><div class="">Indeed in real life I also needed to cross-validate time series in a different manner than TimeSeriesSplit implemented in sklearn does.</div><div class="">I fully support the idea of such a contribution Andres.</div><div class=""><br class=""></div><div class="">As Andy mentioned, the main option would be a « rolling window » or as I use to say, a « sliding window » technique.</div><div class="">I think this is what you meant. In order to understand each other, I propose to give a piece of explanation:</div><div class=""><br class=""></div><div class="">Think about your data sorted by time chronologically on an axis.</div><div class="">Set a constant test set length (interval) which will « slide » over the time. </div><div class="">Then the training set is just the rest of the data before the first one in test set.</div><div class=""><br class=""></div><div class="">I joined a slide I used during a presentation of that principle.</div><div class="">Andy, probably it wasn’t your exact idea but I think it’s kind of.</div><div class=""><br class=""></div><div class="">Thanks,</div><div class="">Sylvain</div><div class=""><br class=""></div><div class=""><img height="540" width="960" apple-width="yes" apple-height="yes" apple-inline="yes" id="09D93F97-0BB0-4C40-B8CC-229DBACF985B" src="cid:A1C5D157-4BA4-4DFB-862B-89698AD26D22@local.masagroup.net" class=""></div><div class=""><br class=""></div><br class=""><div><blockquote type="cite" class=""><div class="">Le 28 avr. 2017 à 17:48, Andreas Mueller <<a href="mailto:t3kcit@gmail.com" class="">t3kcit@gmail.com</a>> a écrit :</div><br class="Apple-interchange-newline"><div class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">Hey Andres.</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">I think there might be a PR for that.</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">Can you explain the minimum size of the training set? How is that used?</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">I thought the other main option would be "rolling window" cross validation</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">to use a fixed length cv training set.</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">So the two options to me were rolling window and what we're doing right now.</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">Can you elaborate on the other use cases, like minimum size of the training set</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">and why you would want the other options with a variable length training set?</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">Thanks,</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><span style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255); float: none; display: inline !important;" class="">Andy</span><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><br style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><div class="moz-cite-prefix" style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);">On 04/27/2017 09:44 AM, andres lago wrote:<br class=""></div><blockquote cite="mid:VI1P192MB025463688086455AC51DAC65F4100@VI1P192MB0254.EURP192.PROD.OUTLOOK.COM" type="cite" style="font-family: Helvetica; font-size: 12px; font-style: normal; font-variant-caps: normal; font-weight: normal; letter-spacing: normal; orphans: auto; text-align: start; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; background-color: rgb(255, 255, 255);" class=""><div id="divtagdefaultwrapper" dir="ltr" style="font-size: 12pt; font-family: Calibri, Arial, Helvetica, sans-serif;" class=""><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span style="font-family: Calibri, Arial, Helvetica, sans-serif; font-size: 12pt;" class="">Hello,</span><br class=""></div><div style="" class=""><div class=""><div id="divtagdefaultwrapper" dir="ltr" style="font-size: 12pt; font-family: Calibri, Arial, Helvetica, sans-serif;" class=""><div style="margin-top: 0px; margin-bottom: 0px;" class=""> <span class="Apple-converted-space"> </span>I'd like to contribute with a new functionality in sklearn. It's the cross validation of time series. It's an evolution of the current functionality, implemented by <span class="">TimeSeriesSplit.</span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><br class=""></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""> <span style="font-size: 16px;" class="">TimeSeriesSplit only allows the user to set the number of folds. In real life, when performing the cross validation of time series, other parameters are required, for instance:</span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""> <span class="Apple-converted-space"> </span>-minimum size of CV-training set</span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""> <span class="Apple-converted-space"> </span>-size of CV-test set</span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""> <span class="Apple-converted-space"> </span>-fixed or variable length of CV-training set.</span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""><br class=""></span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""> <span class="Apple-converted-space"> </span>The functionality is inspired by the R library 'caret'. </span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""><br class=""></span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""> <span class="Apple-converted-space"> </span>If you agree, I can share my code. I developed it for a project with the french rail company SNCF. It's in production now.</span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""><br class=""></span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""> <span class="Apple-converted-space"> </span>Regards,</span></span></div><div style="margin-top: 0px; margin-bottom: 0px;" class=""><span class=""><span style="font-size: 16px;" class=""> <span class="Apple-converted-space"> </span>Andres </span></span></div></div></div></div></div><br class=""><fieldset class="mimeAttachmentHeader"></fieldset><br class=""><pre wrap="" class="">_______________________________________________
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