A note on the validity of cross-validation for evaluating autoregressive time series prediction
DOI10.1016/J.CSDA.2017.11.003zbMATH Open1469.62021OpenAlexW2770188460MaRDI QIDQ138202FDOQ138202
Authors: Christoph Bergmeir, Rob J. Hyndman, Bonsoo Koo, Christoph Bergmeir, Rob J. Hyndman, Bonsoo Koo 
Publication date: April 2018
Published in: 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
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- Clustering nonlinear time series with neural network bootstrap forecast distributions
- Using cross-validation methods to select time series models: promises and pitfalls
- Point and interval forecasts of death rates using neural networks
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- Ridge Regression Under Dense Factor Augmented Models
- New techniques to perform cross-validation for time series models
- On stochastic dynamic modeling of incidence data
- Trading signals in VIX futures
- Generative adversarial networks for financial trading strategies fine-tuning and combination
- Using shared sell-through data to forecast wholesaler demand in multi-echelon supply chains
- Markov cross-validation for time series model evaluations
- Prediction intervals for economic fixed-event forecasts
- Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data
- The MELBS team winning entry for the EVA2017 competition for spatiotemporal prediction of extreme rainfall using generalized extreme value quantiles
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- Imputation of clinical covariates in time series
- Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers
- Efficient use of data for LSTM mortality forecasting
- Labor market forecasting in unprecedented times: a machine learning approach
- Spatiotemporal event studies for environmental data under cross-sectional dependence: an application to air quality assessment in Lombardy
- Long-term real dynamic investment planning
- Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data
- Modeling and forecasting traffic flows with mobile phone big data in flooding risk areas to support a data-driven decision making
- Time series cross validation: a theoretical result and finite sample performance
- Functional Linear Regression: Dependence and Error Contamination
- A group regularisation approach for constructing generalised age-period-cohort mortality projection models
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