Markov cross-validation for time series model evaluations

DOI10.1016/J.INS.2016.09.061MaRDI QIDQ2282291zbMATH OpenOpenAlexFDO

Authors Gaoxia Jiang, Wenjian Wang

Publication date 7 January 2020

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2016.09.061

zbMATH Keywords

Markov cross-validationmodel evaluationtime series

Mathematics Subject Classification ID

Markov processes: hypothesis testing (62M02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Comparison of two bandwidth selectors with dependent errors
• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
• Estimating classification error rate: repeated cross-validation, repeated hold-out and bootstrap
• Fitting a bivariate additive model by local polynomial regression
• Measuring the prediction error. A comparison of cross-validation, bootstrap and covariance penalty methods
• No unbiased estimator of the variance of K-fold cross-validation
• Nonparametric kernel density estimation near the boundary
• Nonparametric regression with correlated errors.
• On the usefulness of cross-validation for directional forecast evaluation

Cited in

(9)

• A note on the validity of cross-validation for evaluating autoregressive time series prediction
• Attribute group for attribute reduction
• Bench-Marking Time Series with Reliable Bench-Marks
• Assessment of Model Adequacy for Markov Regression Time Series Models
• Generative adversarial networks for financial trading strategies fine-tuning and combination
• Cross-Validation for Correlated Data
• Time series cross validation: a theoretical result and finite sample performance
• New techniques to perform cross-validation for time series models
• A review of regularised estimation methods and cross-validation in spatiotemporal statistics

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