doc(cv): add TimeSeriesCV group split example

tczhao · tczhao · commit 2a30d5a2bcce · 2021-02-20T01:02:27.000+11:00
diff --git a/sklearn/model_selection/_split.py b/sklearn/model_selection/_split.py
@@ -815,6 +815,15 @@ class TimeSeriesSplit(_BaseKFold):
     TRAIN: [0 1 2 3] TEST: [6 7]
     TRAIN: [0 1 2 3 4 5] TEST: [8 9]
     TRAIN: [0 1 2 3 4 5 6 7] TEST: [10 11]
+    >>> # Split using group
+    >>> tscv = TimeSeriesSplit(n_splits=2)
+    >>> groups = np.array([1, 1, 2, 3, 4, 4])
+    >>> for train_index, test_index in tscv.split(X, groups=groups):
+    ...    print("TRAIN:", train_index, "TEST:", test_index)
+    ...    X_train, X_test = X[train_index], X[test_index]
+    ...    y_train, y_test = y[train_index], y[test_index]
+    TRAIN: [0 1 2] TEST: [3]
+    TRAIN: [0 1 2 3] TEST: [4 5]
 
     Notes
     -----
