Weikai Lu
06/12/2024, 9:41 PMcross_validation
function and I had a question about it. I understand that in time series analysis, when we create a validation set, it should only include information that would be available at the time of prediction. This means that lagged features for the validation set should be computed based on data up to the last point in the training set for each window.
I was wondering how the cross_validation
function in Mlforecast handles this. Does it ensure that lagged features for the validation set are only computed based on data up to the last point in the training set for each window?
I hope my question makes sense. Any guidance on this would be really helpful. Thank you so much!José Morales
06/12/2024, 9:50 PMWeikai Lu
06/12/2024, 10:11 PM