Arima overfitting
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alkan
7 - Meteor
‎02-12-2021
07:38 PM
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I am using the yahoo stock price dataset from kaggle site to practice with the TS tools. When I use the ARIMA or ETS tool on the training dataset(leaving out the last year for validation), both models seem to be heavily overfitting. I tried to calibrate ARIMA with different parameters but could not find a way to reduce overfitting on the training data. Does anyone have any suggestions regarding how to avoid overfitting in these cases? Thank you in advance,
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17 - Castor
‎02-12-2021
09:22 PM
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Hi @alkan
Could you elaborate/share how you're customizing the parameters? Also if you can share your data/workflow it's very helpful in these situations for others to replicate.
‎02-14-2021
11:36 AM
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Thank you but I figured out the issue.
