from Hacker News

We ended up building a Time-Series Cross-Validation library from scratch

by szemy2 on 4/19/23, 2:43 PM with 5 comments

• by szemy2 on 4/19/23, 2:43 PM

  Hi everyone,

  We have been dealing for a while with the underperformance of Time-Series Machine Learning models (mostly due to regime changes), and haven't found the right library to complete Time Series Cross Validation before the heat-death of the universe.

  We ended up writing a library from scratch, that comes with an order of magnitude speed-up, called Fold.

  --- This is the launch of our core engine so we would love to get some feedback on Fold (https://github.com/dream-faster/fold)! We’ll be here and happy to answer any questions.

• by legothief on 4/19/23, 2:53 PM

  Mark here (other co-founder), we're really curious if you are using Time Series Cross-Validation, with what tools, how frequently, and what kind of issues did you bump into!