samusz / DateSelectors.jl

Utilities for partitioning Dates into validation and holdout sets.

DateSelectors

Usage

DateSelectors.jl simplifies the partitioning of a collection of dates into non-contiguous validation and holdout sets in line with best practices for tuning hyper-parameters, for time-series machine learning.

The package exports the partition function, which assigns dates to the validation and holdout sets according to the DateSelector. The available DateSelectors are:

1. NoneSelector: assigns all dates to the validation set.
2. RandomSelector: randomly draws a subset of dates without replacement.
3. PeriodicSelector: draws contiguous subsets of days periodically from the collection.

A notable trait of the DateSelectors is that the selection is invariant to the start and end-dates of collection itself. Thus you can shift the start and end dates, e.g. by a week, and the days in the overlapping period will consitently still be placed into holdout or validation as before. The only thing that controls if a date is selected or not is the parameters of the DateSelector itself.

See the examples in the docs for more info.