plot_cross_validation_metric function

Plot a performance metric vs. forecast horizon from cross validation. Cross validation produces a collection of out-of-sample model predictions that can be compared to actual values, at a range of different horizons (distance from the cutoff). This computes a specified performance metric for each prediction, and aggregated over a rolling window with horizon.

  • Maintainer: Sean Taylor
  • License: MIT + file LICENSE
  • Last published: 2021-03-30