ForecastingGridSearchCV

class sktime.forecasting.model_selection.ForecastingGridSearchCV(forecaster, cv, param_grid, scoring=None, n_jobs=None, refit=True, verbose=0, pre_dispatch='2*n_jobs', error_score=nan, return_train_score=False)[source]

Performs grid-search cross-validation to find optimal model parameters. The forecaster is fit on the initial window and then temporal cross-validation is used to find the optimal parameter

Grid-search cross-validation is performed based on a cross-validation iterator encoding the cross-validation scheme, the parameter grid to search over, and (optionally) the evaluation metric for comparing model performance. As in scikit-learn, tuning works through the common hyper-parameter interface which allows to repeatedly fit and evaluate the same forecaster with different hyper-parameters.

Parameters
  • forecaster (estimator object) – The estimator should implement the sktime or scikit-learn estimator interface. Either the estimator must contain a “score” function, or a scoring function must be passed.

  • cv (cross-validation generator or an iterable) – e.g. SlidingWindowSplitter()

  • param_grid (dict or list of dictionaries) – Model tuning parameters of the forecaster to evaluate

  • scoring (function, optional (default=None)) – Function to score models for evaluation of optimal parameters

  • n_jobs (int, optional (default=None)) – Number of jobs to run in parallel. None means 1 unless in a joblib.parallel_backend context. -1 means using all processors.

  • refit (bool, optional (default=True)) – Refit the forecaster with the best parameters on all the data

  • verbose (int, optional (default=0)) –

  • pre_dispatch (str, optional (default='2*n_jobs')) –

  • error_score (numeric value or the str 'raise', optional (default=np.nan)) – The test score returned when a forecaster fails to be fitted.

  • return_train_score (bool, optional (default=False)) –

best_index_[source]
Type

int

best_score_[source]

Score of the best model

Type

float

best_params_[source]

Best parameter values across the parameter grid

Type

dict

best_forecaster_[source]

Fitted estimator with the best parameters

Type

estimator

cv_results_[source]

Results from grid search cross validation

Type

dict

n_splits_[source]

Number of splits in the data for cross validation}

Type

int

refit_time_[source]

Time (seconds) to refit the best forecaster

Type

float

scorer_[source]

Function used to score model

Type

function

__init__(forecaster, cv, param_grid, scoring=None, n_jobs=None, refit=True, verbose=0, pre_dispatch='2*n_jobs', error_score=nan, return_train_score=False)[source]

Initialize self. See help(type(self)) for accurate signature.