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Parameter optimization for forecast validation

BarclaeysBarclaeys Member Posts: 18 Learner I
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Hello, is it possible to perform a parameter optimization for a forecast validation model? Does the window size, step size or horizon make a difference for the accuracy of the e.g. Holt-Winters model?

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    lionelderkrikorlionelderkrikor Moderator, RapidMiner Certified Analyst, Member Posts: 1,195 Unicorn
    Solution Accepted
    Hi @Barclaeys,

    You can find Martin's TS extension by going on the MarketPlace (Extension -> MarketPlace) and search for "forecasting" : 

      

    Regards,

    Lionel

     

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    MartinLiebigMartinLiebig Administrator, Moderator, Employee, RapidMiner Certified Analyst, RapidMiner Certified Expert, University Professor Posts: 3,510 RM Data Scientist
    yes of course. Again i would recommend you to have a look at my Auto-TS extension: https://community.rapidminer.com/discussion/57657/new-extension-how-to-do-time-series-forecasting-with-just-1-operator . Internally it is doing exactly this for you.

    Note that you do not optimize on window_size, step_size nor horizon. Those are settings of your validation. you rather optimize alpha beta and gamma of HW.
    Think about it like this: A validation is a technique to measure the accuracy of your model. You determine the settings of this "measurement" and then try to find the right parameters of the model. Something like a calibration.

    Best,
    Martin

    - Sr. Director Data Solutions, Altair RapidMiner -
    Dortmund, Germany
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    BarclaeysBarclaeys Member Posts: 18 Learner I
    hi Martin, question where can I find your TS extension with new operator? Download a RM upgrade? A specific component that you built? Thanks
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    BarclaeysBarclaeys Member Posts: 18 Learner I
    Thank you Lionel - package installed! Will check it out now.
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