Parameter optimization for forecast validation

Hi @Barclaeys ,

yes of course. Again i would recommend you to have a look at my Auto-TS extension: https://community.rapidminer.com/discussion/57109/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