[scikit-learn] Contribution to sklearn: Cross validation of time series

[andres lago]

Hello,

  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 TimeSeriesSplit.


  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:

    -minimum size of CV-training set

    -size of CV-test set

    -fixed or variable length of CV-training set.


  The functionality is inspired by the R library 'caret'.


  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.


  Regards,

    Andres
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