Tuning machine learning and time series models using ML methodologies


The mlr package is a unified interface for machine learning tasks such as classification, regression, cluster analysis, and survival analysis. \pkg{mlr} handles the data pipeline of preprocessing, resampling, model selection, model tuning, ensembling, and prediction. This paper details new methods for developing time series models in `mlr. This extension includes standard and novel tools such as Lambert W transform data generating processes, autoregressive data generating schemes for forecasting with machine learning models, fixed and growing window cross-validation, and forecasting models in the context of univariate and multivariate time series. Examples are given to demonstrate the benefits of a unified framework for machine learning and time series.

R In Finance 2017

Steve Bronder
Stan Developer

My research interests include computational math, bayesian statistics, and making computers do things quickly.