Matias Calderini11/14/2022, 9:47 PM
Max (Nixtla)11/15/2022, 3:56 AM
Matias Calderini11/15/2022, 2:58 PM
Max (Nixtla)11/15/2022, 3:49 PM
will explore only a simple exponential smoothing.
ETS (season_length:int=1, model:str='ANN')
Matias Calderini11/15/2022, 4:42 PM
Max (Nixtla)11/15/2022, 5:17 PM
That’s exactly it. So cv is doing like the first image, but with overlapping windows (unless one specifies step_size=horizon, then we get exactly the first image), right? With the overlapping windows then, if I had a test et of 100 points, it would effectively train 100 new models. This test would give me an estimate of what my model will be like in production if I retrain it every single day. Is that accurate? (edited)Yes!
Matias Calderini11/15/2022, 5:29 PM