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max value for n_test_splits

Open wissam124 opened this issue 3 years ago • 0 comments

In the __init__ method of PurgedKFoldWalkForward, an if statement raises an error if n_test_splits >= self.n_splits - 1 (line 105). In the __init__ method of CombPurgedKFoldCV, a similar check on n_test_splits check raises an error if n_test_splits >= self.n_splits - 1 (line 274).

I believe the __init__ method in PurgedKFoldWalkForward is wrong, n_test_splits could well be equal to n_splits - 1. That would still leave one train/test split overall.

I also think that min_train_splits can also be equal to n_splits - n_test_splits (line 114).

wissam124 avatar Aug 23 '22 13:08 wissam124