If KFold looks like this
And CPCV looks like this
Whats the difference apart from Purging and Embargoing? And why would one even need to Purge or Embargo if there is no leakage in their features? Why shouldnt I just use RepeatedKFold?
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What do purging and embargoing do? What is your current understanding why/when to use them, and why/when use repeated k-fold? – cbeleites unhappy with SX Aug 02 '22 at 13:14
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@cbeleitesunhappywithSX I understand now what Purging does. If the target of a sample exists on the test set, that can lead to overfitting, KFold on Sklearn doesnt have params that allow you to remove that, so it makes sense why CPCV exists as its own thing. – Matthias Tom Aug 02 '22 at 19:44