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Description
Following the investigation performed in #53, implement a form of cross validation for PyAF models.
Specifications :
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Cut the dataset in many folds according to a scikit-learn time series split :
http://scikit-learn.org/stable/modules/cross_validation.html#cross-validation
number of folds => user option (default = 10) -
To have enough data, use only the last n/2 folds for estimating the models (thanks to forecast R package ;). The default splits look like this :
[5 ] [6]
[5 6 ] [7]
[5 6 7] [8]
[5 6 7 8] [9]
[5 6 7 8 9] [10] -
Use the model decomposition type or formula as a hyperparameter and optimize it. select the decomposition(s) with the lowest mean MAPE on the validation datasets of all the possible splits.
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Among all the chosen decompositions, select the model with lowest complexity (~ number of inputs)
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Execute the procedure on the ozone and air passengers datsets and compare with the non-cross validation models (=> 2 jupyter notebooks)