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https://github.com/saymrwulf/prophet.git
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16e632a695
* Add test for custom cutoff cv * implement custom cutoff logic in cv function * add docstring * add description in notebook and rebuild .Rd docs * fix bug and add test case for period is NULL * replace s.POSIXct set_date
45 lines
1.3 KiB
R
45 lines
1.3 KiB
R
% Generated by roxygen2: do not edit by hand
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% Please edit documentation in R/diagnostics.R
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\name{cross_validation}
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\alias{cross_validation}
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\title{Cross-validation for time series.}
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\usage{
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cross_validation(
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model,
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horizon,
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units,
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period = NULL,
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initial = NULL,
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cutoffs = NULL
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)
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}
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\arguments{
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\item{model}{Fitted Prophet model.}
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\item{horizon}{Integer size of the horizon}
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\item{units}{String unit of the horizon, e.g., "days", "secs".}
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\item{period}{Integer amount of time between cutoff dates. Same units as
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horizon. If not provided, 0.5 * horizon is used.}
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\item{initial}{Integer size of the first training period. If not provided,
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3 * horizon is used. Same units as horizon.}
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\item{cutoffs}{Vector of cutoff dates to be used during
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cross-validtation. If not provided works beginning from (end - horizon),
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works backwards making cutoffs with a spacing of period until initial is
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reached.}
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}
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\value{
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A dataframe with the forecast, actual value, and cutoff date.
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}
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\description{
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Computes forecasts from historical cutoff points which user can input.If
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not provided, these are computed beginning from (end - horizon), and working
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backwards making cutoffs with a spacing of period until initial is reached.
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}
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\details{
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When period is equal to the time interval of the data, this is the
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technique described in https://robjhyndman.com/hyndsight/tscv/ .
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}
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