Generate temporal cross-validation index

Generate temporal cross-validation index

Usage

generate_cv_index_ts(data, time_col = "time", cv_fold = 10L, window = 14L)

Arguments

data

data.table with X, Y, and time information.

time_col

character(1). Field name with time information.

cv_fold

integer(1). Number of cross-validation folds.

window

integer(1). Window size for each fold. Simply meaning overlaps between folds. Unit is the base unit of temporal values stored in time_col. Window size is put into as.difftime function, then the half of it (if odd, rounded number + 1 is applied) is used for overlaps in the middle folds.

Value

List of numeric vector with out-of-sample indices.

Examples

data <- data.frame(
 time = seq.Date(from = as.Date("2021-01-01"), by = "day", length.out = 100),
 value = rnorm(100)
)
rset_ts <-
  generate_cv_index_ts(data, time_col = "time", cv_fold = 10, window = 14)