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Thursday, December 22, 2016

Testing Time Series Data

Very well done, and thoughtful and technical piece on testing a time series. Have heard of backtesting, but not hindcasting.   And more specifically its about making  forecasts in time.   What is generally known as forecasting.

 How To Backtest Machine Learning Models for Time Series Forecasting
by Jason Brownlee on December 19, 2016 in Time Series

The goal of time series forecasting is to make accurate predictions about the future.

The fast and powerful methods that we rely on in machine learning, such as using train-test splits and k-fold cross validation, do not work in the case of time series data. This is because they ignore the temporal components inherent in the problem.

In this tutorial, you will discover how to evaluate machine learning models on time series data with Python. In the field of time series forecasting, this is called backtesting or hindcasting ... "  

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