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Time series data split

Open CSNoyes opened this issue 7 years ago • 2 comments

Could documentation be added on how to properly use auto-sklearn with time series data? It doesn't appear to be possible to pass in a TimeSeriesSplit or other cv type, and the documentation is unclear on whether or not samples are shuffled (thus introducing lookahead bias).

CSNoyes avatar Jun 09 '17 00:06 CSNoyes

Thanks for pointing out that we need to document the behavior of Auto-sklearn. Auto-sklearn uses a StratifiedCrossValidation and shuffles the data. Therefore, it's not possible to use it for time series data at the moment.

mfeurer avatar Jun 15 '17 20:06 mfeurer

This should now work, see #501.

mfeurer avatar Jun 27 '18 08:06 mfeurer