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Time Series with PyTorch
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When we are preparing time series data for forecasting modelling, specifically training and hyper parameter tuning, we need to take account of how neural networks work compared to other methods, like gradient boosted decision trees (GBDTs), Multivariate Adaptive Regression Splines (MARS), Support Vector Machines (SVM), etc. Classical machine learning (CML) methods, such as DTs, are particularly susceptible to overfitting, especially with smaller datasets. Similarly, hyper parameters (HP) like maximum deep, which makes ‘deep trees’ also can lead to over fitting, while low or untuned HP values may also result in under fitting. The sensitivity of ML models is exacerbated by their deterministic nature, although there is some randomness in the models (which we can control) they largely provide the same model when provided with the same HPs and data in training. This, amongst other factors, make a robust cross-validation...
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