Time Series Split #163
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Time Series Split #163
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deatinor
reviewed
Apr 3, 2020
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| def time_series_split(time_series: pd.DataFrame, n_splits=4, split_on='index'): | ||
| """ | ||
| Split the input DataFrame into n_splits. If the data is not a timeries then the split |
| next_date = start_date + pd.Timedelta(split_length) | ||
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| for split in range(n_splits - 1): | ||
| time_fold = time_series[(time_series.index >= start_date) & (time_series.index < next_date)] |
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I would do these operations diectly on the index, so that you don't copy the whole time series
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What do you mean by 'copy the whole time series' ?
Are you suggesting that I should not assign it and directly send the yield like below
for split in range(n_splits - 1):
yield time_series[(time_series.index >= start_date) & (time_series.index < next_date)].index
next_date += pd.Timedelta(split_length)
yield time_series[0:].index
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First select the index and then compute the folds on it.
This line: time_series[(time_series.index >= start_date) & (time_series.index < next_date)] copies the all dataframe, data included
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| def time_series_split(time_series: pd.DataFrame, n_splits=4, split_on='index'): | ||
| """ | ||
| Split the input DataFrame into n_splits. If the data is not a timeries then the split |
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In general, it is not super clear the description
Implemented Blocking Time Series Split
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Reference Issues/PRs
What does this implement/fix? Explain your changes.
Time Series Cross-Validation:
Implemented Time Series Split and Blocking Time Series Split with Tests
Any other comments?