A note on the validity of cross-validation for evaluating autoregressive time series prediction

DOI10.1016/j.csda.2017.11.003zbMath1469.62021MaRDI QIDQ138202

Rob Hyndman, Christoph Bergmeir, Rob J. Hyndman, Bonsoo Koo, Bonsoo Koo, Christoph Bergmeir

Publication date: April 2018

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2017.11.003

zbMATH Keywords

time series; cross-validation; autoregression

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

forecastML

Uses Software

• R
• expsmooth
• forecastML