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Alot of the data I use is only available on monthly schedules, and my forecasts are only important by month (or quarter) so I have to work within those parameters. My data is monthly data starting from 2015-01 and ending in 2023-12.
I build a model in the following manner and get a forecast:
I wanted to try to perform cross validation by month, but am having trouble getting the result I'd like since I have to use cutoffs. I created cutoffs in monthly starts (my data uses monthly starts as the date), so I write the following:
cutoffs = pd.date_range(start='2019-01-01', end = '2022-12-01', freq='MS')
My intention with the cross validation with the cutoff is:
Use 2015-01 to 2018-12 to train
try to predict ~1 year out along each month so:
Train 2015-01 to 2018-12, predict 2019-01 to 2019-12, then train 2015-01 to 2019-01, predict 2019-02 to 2020-01, etc so my last is something like 2023-01 to 2012-12 forecasted
Build a table for errors and compare.
But when I print the frame for cross validation, I get weird horizons that are sometimes a day apart:
How do I get what I want in terms of CV if am forced to use monthly data? Thanks!
The text was updated successfully, but these errors were encountered:
Alot of the data I use is only available on monthly schedules, and my forecasts are only important by month (or quarter) so I have to work within those parameters. My data is monthly data starting from 2015-01 and ending in 2023-12.
I build a model in the following manner and get a forecast:
I wanted to try to perform cross validation by month, but am having trouble getting the result I'd like since I have to use cutoffs. I created cutoffs in monthly starts (my data uses monthly starts as the date), so I write the following:
This gives me what I would expect:
I setup my cross validation like this since I can't use a monthly freq (since months are not constant per other comments I've read):
My intention with the cross validation with the cutoff is:
Train 2015-01 to 2018-12, predict 2019-01 to 2019-12, then train 2015-01 to 2019-01, predict 2019-02 to 2020-01, etc so my last is something like 2023-01 to 2012-12 forecasted
But when I print the frame for cross validation, I get weird horizons that are sometimes a day apart:
How do I get what I want in terms of CV if am forced to use monthly data? Thanks!
The text was updated successfully, but these errors were encountered: