时序数据做交叉验证，选择模型，选择参数，用以查看模型是否收敛

# 时间序列分割
from sklearn.model_selection import TimeSeriesSplit
tscv = TimeSeriesSplit(max_train_size=None, n_splits=17)
def cv_mae_(model, train_X, train_y):
    “”
	model: 模型对象
	train_X: 训练集
	train_y: 测试集
	“”
    val_loss = -cross_val_score(model, train_X, train_y, scoring="neg_mean_absolute_error", cv=tscv)
    print('val loss is: {0}'.format(val_loss))
    import matplotlib.pyplot as plt
    plt.plot(val_loss, marker = 'o')
    plt.show()
    cv_mae = np.mean(-cross_val_score(model, train_X, train_y, scoring="neg_mean_absolute_error", cv = tscv))
    return cv_mae

下图中横轴是交叉验证折数 K , 纵轴是平均绝对误差 MAE. 随着交叉验证序列的增多，mae 趋于稳定，模型逐渐收敛