Model Assessment and Selection under Temporal Distribution Shift

This is the code associated with the paper Model Assessment and Selection under Temporal Distribution Shift.

File Overview

1. ARW.py

• Provides functions that implement the Single-Elimination Tournament for Model Selection (Algorithm 3 in the paper) via Adaptive Rolling Window(ARW)

2. algo_syn.py

• Provides algorithms for training with fixed window sizes, model selection with fixed window sizes, and model selection via Adaptive Rolling Window(ARW)

3. generate_syn_data.py

• Provides functions for generating synthetic data

4. figures.ipynb

• Provides an example of code usage using synthetic data and produces figures presented in the paper

Results

Figures using synthetic data presented in the paper can be reproduced using figures.ipynb.