casact
GridSearchCV with time-series cv functionality
Need to create cross-validation functionality that holds out valuation dates similar to sklearn.model_selection.TimeSeriesSplit.
Refer to https://www.actuarialsociety.org.za/convention/wp-content/uploads/2020/09/2020-ASSA-BalonaRichman-FIN.pdf paper for a well thought-out approach.
Thanks, John. Good article.
Anthony A H Egerton MA MBA ACII 李晋唐 Principal Officer HUNTINGTON UNDERWRITING LIMITED
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On 23 Oct 2020, at 11:40 AM, John S Bogaardt [email protected] wrote:
Refer to https://www.actuarialsociety.org.za/convention/wp-content/uploads/2020/09/2020-ASSA-BalonaRichman-FIN.pdf paper for a well thought-out approach.
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