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It's basically a rework of #1059 . Many thanks to @jasminerienecker for the initial idea! |
elephaint
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Nice work, few comments!
elephaint
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Thanks, good work! 2 things:
- It needs a proper test (the current one has no value)
- Minor adjustment in the implementation is required for multivariate models I think (which becomes apparent in a test)
elephaint
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Great work! Good for me if you agree with the final changes I made (cosmetic and I changed the tests + added explanation to the tests)
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@marcopeix good to go once you verify/check my explanations in the test
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Sampling quality is a really interesting subject. Thank you for taking the time to add this first option @marcopeix ! By the way, it would be great to have a dedicated documentation section. |
Currently, we create the maximum number of training windows, meaning that we might have windows with only 1 available insample data point and 1 available outsample data point.
These are technically low quality windows.
This PR adds the parameter
available_sample_fractionsto control how many available insample and outsample data points should be available as a fraction of input size and horizon for insample and outsample respectively.