How evaluate multi-step forecasting performance for large dataset?
What I means is that to use NARX for forecasting I have to:
1. create closed loop network with
netc = closeloop(net);2. construct target prediction data with targetSeriesPred = [targetSeries(end-delay+1:end), con2seq(nan(1,N))], i.e. use a number of nan equal to forecasting horizon3. prepare data with [Xs,Xi,Ai,Ts] = preparets(netc,inputSeriesPred,{},targetSeriesPred);4. get simulation/prediction results with yPred = netc(Xs,Xi,Ai);5. evaluate forecasting performance (regarding olny one step-ahead prediction) with perf = perform(net,yPred,targetSeriesVal);
Now suppose I have a large dataset of data concerning 3 years of hourly sampled data, I can utilize only the first year for traning, validation and test phase ('divideblock' of course). I don't know how to get a unique performance value for the remaining data, 2 years, for a forecasting horizon for example of only 6 samples. I hope I to have been clear enough. Thanks in advance for your replies/suggestions.
Regards.
Sergio
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