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Nested cross-validation #393

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Chaptyziok opened this issue Jul 30, 2024 · 2 comments
Open

Nested cross-validation #393

Chaptyziok opened this issue Jul 30, 2024 · 2 comments
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awaiting response enhancement feature

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@Chaptyziok
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Currently mlforecast supports the standard cross-validation. It would be nice to have also a nested cross-validation.

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@jmoralez
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jmoralez commented Aug 1, 2024

Hey. Can you describe what that would look like for a single serie? From what I can tell the nested cross validation creates folds from the same samples using a different permutation, how would that work for time series?

@Chaptyziok
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@jmoralez I will send a PR with the proposed changes.

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@jmoralez @Chaptyziok