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A tutorial on time series model evaluation.You require following dataset.

  • airline-passengers
#Disable warnings
import warnings
warnings.filterwarnings('ignore')
warnings.simplefilter('ignore')
# Import required libraries
import pandas as pd
import numpy as np
from pandas.plotting import lag_plot
from pandas.plotting import autocorrelation_plot
from matplotlib import pyplot
from sklearn.model_selection import TimeSeriesSplit
from statsmodels.graphics.gofplots import qqplot
from sklearn.metrics import mean_squared_error
from math import sqrt
from sklearn.metrics import mean_absolute_error

Train-Test Split

# Import data and calculate a train-test split of a time series
series = pd.read_csv('airline-passengers.csv', header=0, index_col=0, parse_dates=True, squeeze=True)
X = series.values
train_size = int(len(X) * 0.7)
train, test = X[0:train_size], X[train_size:len(X)]
print('Observations: %d' % (len(X)))
print('Training Observations: %d' % (len(train)))
print('Testing Observations: %d' % (len(test)))
Observations: 144 Training Observations: 100 Testing Observations: 44