Scikit-learn style cross-validation classes for time series data
Package implementing two cross-validation algorithms suitable to evaluate machine learning models based on time series datasets.
- timeseriescv can be installed using pip:
>>> pip install timeseriescv
For now the package contains two main classes handling cross-validation:
- PurgedWalkForwardCV: Walk-forward cross-validation with purging.
- CombPurgedKFoldCV: Combinatorial cross-validation with purging and embargoing.
Check their respective docstrings for more information.
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