特殊类型数据分割
5.1、时间序列数据分割TimeSeriesSplit
class TimeSeriesSplit Found at: sklearn.model_selection._split
class TimeSeriesSplit(_BaseKFold):
"""Time Series cross-validator .. versionadded:: 0.18
Provides train/test indices to split time series data samples that are observed at fixed time intervals, in train/test sets. In each split, test indices must be higher than before, and thus shuffling in cross validator is inappropriate. This cross-validation object is a variation of :class:`KFold`. In the kth split, it returns first k folds as train set and the (k+1)th fold as test set.
Note that unlike standard cross-validation methods, successive training sets are supersets of those that come before them.
Read more in the :ref:`User Guide <cross_validation>`.
Parameters
----------
n_splits : int, default=5. Number of splits. Must be at least 2. .. versionchanged:: 0.22 . ``n_splits`` default value changed from 3 to 5.
max_train_size : int, default=None. Maximum size for a single training set.
提供训练/测试索引，以分割时间序列数据样本，在训练/测试集中，在固定的时间间隔观察。在每次分割中，测试索引必须比以前更高，因此在交叉验证器中变换是不合适的。这个交叉验证对象是KFold 的变体。在第k次分割中，它返回第k次折叠作为序列集，返回第(k+1)次折叠作为测试集。
注意，与标准的交叉验证方法不同，连续训练集是之前那些训练集的超集。
更多信息请参见:ref: ' User Guide <cross_validation> '。</cross_validation>
参数
----------
n_splits :int，默认=5。数量的分裂。必须至少是2. ..versionchanged:: 0.22。' ' n_split ' ' '默认值从3更改为5。
max_train_size : int，默认None。单个训练集的最大容量。
Examples
--------
>>> import numpy as np
>>> from sklearn.model_selection import TimeSeriesSplit
>>> X = np.array([[1, 2], [3, 4], [1, 2], [3, 4], [1, 2], [3, 4]])
>>> y = np.array([1, 2, 3, 4, 5, 6])
>>> tscv = TimeSeriesSplit()
>>> print(tscv)
TimeSeriesSplit(max_train_size=None, n_splits=5)
>>> for train_index, test_index in tscv.split(X):
... print("TRAIN:", train_index, "TEST:", test_index)
... X_train, X_test = X[train_index], X[test_index]
... y_train, y_test = y[train_index], y[test_index]
TRAIN: [0] TEST: [1]
TRAIN: [0 1] TEST: [2]
TRAIN: [0 1 2] TEST: [3]
TRAIN: [0 1 2 3] TEST: [4]
TRAIN: [0 1 2 3 4] TEST: [5]
Notes
-----
The training set has size ``i * n_samples // (n_splits + 1) + n_samples % (n_splits + 1)`` in the ``i``th split, with a test set of size ``n_samples//(n_splits + 1)``, where ``n_samples`` is the number of samples.
"""
@_deprecate_positional_args
def __init__(self, n_splits=5, *, max_train_size=None):
super().__init__(n_splits, shuffle=False, random_state=None)
self.max_train_size = max_train_size
def split(self, X, y=None, groups=None):
"""Generate indices to split data into training and test set.
Parameters
----------
X : array-like of shape (n_samples, n_features). Training data, where n_samples is the number of samples and n_features is the number of features.
y : array-like of shape (n_samples,). Always ignored, exists for compatibility.
groups : array-like of shape (n_samples,). Always ignored, exists for compatibility.
Yields
------
train : ndarray. The training set indices for that split.
test : ndarray. The testing set indices for that split.
"""
X, y, groups = indexable(X, y, groups)
n_samples = _num_samples(X)
n_splits = self.n_splits
n_folds = n_splits + 1
if n_folds > n_samples:
raise ValueError(
("Cannot have number of folds ={0} greater than the number of samples: {1}."). format(n_folds, n_samples))
indices = np.arange(n_samples)
test_size = n_samples // n_folds
test_starts = range(test_size + n_samples % n_folds, n_samples,
test_size)
for test_start in test_starts:
if self.max_train_size and self.max_train_size < test_start:
yield indices[test_start - self.max_train_size:test_start], indices
[test_start:test_start + test_size]
else:
yield indices[:test_start], indices[test_start:test_start + test_size]
Examples
--------
>>> import numpy as np
>>> from sklearn.model_selection import TimeSeriesSplit
>>> X = np.array([[1, 2], [3, 4], [1, 2], [3, 4], [1, 2], [3, 4]])
>>> y = np.array([1, 2, 3, 4, 5, 6])
>>> tscv = TimeSeriesSplit()
>>> print(tscv)
TimeSeriesSplit(max_train_size=None, n_splits=5)
>>> for train_index, test_index in tscv.split(X):
... print("TRAIN:", train_index, "TEST:", test_index)
... X_train, X_test = X[train_index], X[test_index]
... y_train, y_test = y[train_index], y[test_index]
TRAIN: [0] TEST: [1]
TRAIN: [0 1] TEST: [2]
TRAIN: [0 1 2] TEST: [3]
TRAIN: [0 1 2 3] TEST: [4]
TRAIN: [0 1 2 3 4] TEST: [5]
Notes
-----
The training set has size ``i * n_samples // (n_splits + 1) + n_samples % (n_splits + 1)`` in the ``i``th split, with a test set of size ``n_samples//(n_splits + 1)``, where ``n_samples`` is the number of samples.
"""
@_deprecate_positional_args
def __init__(self, n_splits=5, *, max_train_size=None):
super().__init__(n_splits, shuffle=False, random_state=None)
self.max_train_size = max_train_size
def split(self, X, y=None, groups=None):
"""Generate indices to split data into training and test set.
Parameters
----------
X : array-like of shape (n_samples, n_features). Training data, where n_samples is the number of samples and n_features is the number of features.
y : array-like of shape (n_samples,). Always ignored, exists for compatibility.
groups : array-like of shape (n_samples,). Always ignored, exists for compatibility.
Yields
------
train : ndarray. The training set indices for that split.
test : ndarray. The testing set indices for that split.
"""
X, y, groups = indexable(X, y, groups)
n_samples = _num_samples(X)
n_splits = self.n_splits
n_folds = n_splits + 1
if n_folds > n_samples:
raise ValueError(
("Cannot have number of folds ={0} greater than the number of samples: {1}."). format(n_folds, n_samples))
indices = np.arange(n_samples)
test_size = n_samples // n_folds
test_starts = range(test_size + n_samples % n_folds, n_samples,
test_size)
for test_start in test_starts:
if self.max_train_size and self.max_train_size < test_start:
yield indices[test_start - self.max_train_size:test_start], indices
[test_start:test_start + test_size]
else:
yield indices[:test_start], indices[test_start:test_start + test_size]
