magsol/capstone — Issue #1: Train on half a sequence, predict the second half
Author: magsol
Created: 2012-02-28 20:26:27+00:00
State: open

Thus far we have focused on using the entire sequence of data to train the AR model parameters, and then using two sequential points of the actual sequence to predict a third.

In this use-case, chop the input sequence in half. Train your model parameters only using the first half of the data. Then, using the last n points of the first half (depending on the order of the AR model), predict *all* the points in the second-half. This means iteratively generating new points and funneling those predictions back into the model to generate further new points.

Then compare the second-half predictions with the actual data for the second-half that you left out of the training step. See how they compare.