prophet: cross_validation – R documentation

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cross_validation

Cross-validation for time series.

Description

Computes forecasts from historical cutoff points which user can input.If not provided, these are computed beginning from (end - horizon), and working backwards making cutoffs with a spacing of period until initial is reached.

Usage

cross_validation(
  model,
  horizon,
  units,
  period = NULL,
  initial = NULL,
  cutoffs = NULL
)

Arguments

`model`	Fitted Prophet model.
`horizon`	Integer size of the horizon
`units`	String unit of the horizon, e.g., "days", "secs".
`period`	Integer amount of time between cutoff dates. Same units as horizon. If not provided, 0.5 * horizon is used.
`initial`	Integer size of the first training period. If not provided, 3 * horizon is used. Same units as horizon.
`cutoffs`	Vector of cutoff dates to be used during cross-validtation. If not provided works beginning from (end - horizon), works backwards making cutoffs with a spacing of period until initial is reached.

Details

When period is equal to the time interval of the data, this is the technique described in https://robjhyndman.com/hyndsight/tscv/ .

Value

A dataframe with the forecast, actual value, and cutoff date.

prophet

Automatic Forecasting Procedure

v1.0

MIT + file LICENSE

Authors

Sean Taylor [cre, aut], Ben Letham [aut]

Initial release

2021-03-08