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Scikit-learn style cross-validation classes for time series data

Project description

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.

Project details

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