What % is the best train/test split for Time Series Data? Do you think it is still 70/30 ?
I am talking about leaving a whole continuous period (in the beginning or in the end) for TEST.
I have two intuitive assumptions:
- For Time Series Data it is better that the split is more weighted towards the train data because of interdependence. Maybe 80/20 or 85/15.
- If you are to choose from leaving a TEST period in the beginning or in the end probably in the beginning is better, because the latest data brings more 'information'.
Please give your opinion on the validity of the assumptions. Both a theoretical and 'from experience' point of view.