sklearn.model_selection.TimeSeriesSplit  
class sklearn.model_selection.TimeSeriesSplit(n_splits=5, *, max_train_size=None, test_size=None, gap=0) [source]
 
Time Series cross-validator 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 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 User Guide.  New in version 0.18.   Parameters 
 
n_splitsint, default=5 

Number of splits. Must be at least 2.  Changed in version 0.22: n_splits default value changed from 3 to 5.   
max_train_sizeint, default=None 

Maximum size for a single training set.  
test_sizeint, default=None 

Used to limit the size of the test set. Defaults to n_samples // (n_splits + 1), which is the maximum allowed value with gap=0.  New in version 0.24.   
gapint, default=0 

Number of samples to exclude from the end of each train set before the test set.  New in version 0.24.      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) by default, where n_samples is the number of samples. 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(gap=0, max_train_size=None, n_splits=5, test_size=None)
>>> 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]
>>> # Fix test_size to 2 with 12 samples
>>> X = np.random.randn(12, 2)
>>> y = np.random.randint(0, 2, 12)
>>> tscv = TimeSeriesSplit(n_splits=3, test_size=2)
>>> 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 1 2 3 4 5] TEST: [6 7]
TRAIN: [0 1 2 3 4 5 6 7] TEST: [8 9]
TRAIN: [0 1 2 3 4 5 6 7 8 9] TEST: [10 11]
>>> # Add in a 2 period gap
>>> tscv = TimeSeriesSplit(n_splits=3, test_size=2, gap=2)
>>> 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 1 2 3] TEST: [6 7]
TRAIN: [0 1 2 3 4 5] TEST: [8 9]
TRAIN: [0 1 2 3 4 5 6 7] TEST: [10 11]
 Methods  
get_n_splits([X, y, groups]) Returns the number of splitting iterations in the cross-validator  
split(X[, y, groups]) Generate indices to split data into training and test set.    
get_n_splits(X=None, y=None, groups=None) [source]
 
Returns the number of splitting iterations in the cross-validator  Parameters 
 
Xobject 

Always ignored, exists for compatibility.  
yobject 

Always ignored, exists for compatibility.  
groupsobject 

Always ignored, exists for compatibility.    Returns 
 
n_splitsint 

Returns the number of splitting iterations in the cross-validator.     
  
split(X, y=None, groups=None) [source]
 
Generate indices to split data into training and test set.  Parameters 
 
Xarray-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.  
yarray-like of shape (n_samples,) 

Always ignored, exists for compatibility.  
groupsarray-like of shape (n_samples,) 

Always ignored, exists for compatibility.    Yields 
 
trainndarray 

The training set indices for that split.  
testndarray 

The testing set indices for that split.     
 
 Examples using sklearn.model_selection.TimeSeriesSplit
 
  Visualizing cross-validation behavior in scikit-learn