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Merged
Created Jul 14, 2021 by Elizaveta Lutsenko@LizLutsenkoOwner

Cross validation methods for time series

  • Overview 30
  • Commits 26
  • Changes 43

Created by: Dreamlone

As part of this pull request, methods of cross validation of time series were implemented. Functions have been prepared for both "Tuner" and "Composer".

New field "validation_blocks" was added to the supplementary data structure. New metrics for time series validation were implemented (see metrics).

Several bugs were fixed as part of PR. Namely: the function of multidimensional targeting processing has been fixed, the statsmodels library models have been fixed when including models in the same pipeline with machine learning models. Also the names of variables have been corrected.

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Source branch: ts_cross