Struct PurgedGroupTimeSeriesSplit 

pub struct PurgedGroupTimeSeriesSplit { /* private fields */ }

Purged Group Time Series Split for financial data

Advanced time series cross-validation with purging and embargo periods to prevent data leakage in financial modeling.

Implementations

impl PurgedGroupTimeSeriesSplit

pub fn new(n_splits: usize) -> Self

Create a new PurgedGroupTimeSeriesSplit cross-validator

pub fn max_train_group_size(self, size: usize) -> Self

Set the maximum size for training groups

pub fn group_gap(self, gap: usize) -> Self

Set the gap between groups

pub fn purge_length(self, length: usize) -> Self

Set the purge length (remove samples before test set)

pub fn embargo_length(self, length: usize) -> Self

Set the embargo length (remove samples after test set)

pub fn split_with_groups( &self, n_samples: usize, groups: &Array1<i32>, ) -> Vec<(Vec<usize>, Vec<usize>)>

Split with group information for financial time series

Trait Implementations

impl Clone for PurgedGroupTimeSeriesSplit

fn clone(&self) -> PurgedGroupTimeSeriesSplit

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl CrossValidator for PurgedGroupTimeSeriesSplit

fn n_splits(&self) -> usize

Returns the number of splits

fn split( &self, n_samples: usize, y: Option<&Array1<i32>>, ) -> Vec<(Vec<usize>, Vec<usize>)>

Generate train/test indices for cross-validation

impl Debug for PurgedGroupTimeSeriesSplit

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.