Lead Data Scientist Question:
Tell me what cross-validation technique would you use on a time series dataset?
Answer:
Instead of using k-fold cross-validation, you should be aware to the fact that a time series is not randomly distributed data - It is inherently ordered by chronological order.
In case of time series data, you should use techniques like forward chaining – Where you will be model on past data then look at forward-facing data.
fold 1: training[1], test[2]
fold 1: training[1 2], test[3]
fold 1: training[1 2 3], test[4]
fold 1: training[1 2 3 4], test[5]
In case of time series data, you should use techniques like forward chaining – Where you will be model on past data then look at forward-facing data.
fold 1: training[1], test[2]
fold 1: training[1 2], test[3]
fold 1: training[1 2 3], test[4]
fold 1: training[1 2 3 4], test[5]