proc hpsplit: Rolling window training and validation instead of k-fold validation

Baolinhdo — Thu, 04 Jun 2020 22:33:33 GMT

Hi,

I am building a decision tree model using proc hpsplit. As I am dealing with time-series data, I want to do a walk-forward validation as suggested instead of 10-fold cross-validation or random sampling as validation set. Validation of the trained decision tree model is done in sliding window:

Starting at the beginning of the time series, 10-year window is used to train a model.
The model makes a prediction for the next year.
The prediction is stored or evaluated against known value
Next sliding 10-year window to include the known value and the process is repeated (back to step 1.)

How can we do this in SAS?

Thank you.

Re: proc hpsplit: Rolling window training and validation instead of k-fold validation

ChrisNZ — Thu, 04 Jun 2020 22:36:00 GMT

Re-titled and moved to procedures thread.

Re: proc hpsplit: Rolling window training and validation instead of k-fold validation

Baolinhdo — Sun, 21 Jun 2020 06:32:36 GMT

Thanks, I will

topic Re: proc hpsplit: Rolling window training and validation instead of k-fold validation in Statistical Procedures

proc hpsplit: Rolling window training and validation instead of k-fold validation

Re: proc hpsplit: Rolling window training and validation instead of k-fold validation

Re: proc hpsplit: Rolling window training and validation instead of k-fold validation