DateSelectors.jl

DateSelectors.jl simplifies the partitioning of a collection of dates into non-contiguous validation and holdout sets in line with our best practice approach for tuning hyper-parameters in EIS.

The package exports the partition function, which assigns dates to the validation and holdout sets according to the DateSelector. The available DateSelectors are:

  1. NoneSelector: assigns all dates to the validation set.
  2. RandomSelector: randomly draws a subset of dates without replacement.
  3. PeriodicSelector: draws contiguous subsets of days periodically from the collection.