Time series cross validation: a theoretical result and finite sample performance

DOI10.1016/j.econlet.2023.111369OpenAlexW4387117966MaRDI QIDQ6117808

Ai Deng

Publication date: 20 March 2024

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2023.111369

zbMATH Keywords

model selectioncross-validationvalidation sample

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

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• A note on the validity of cross-validation for evaluating autoregressive time series prediction
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
• Linear Model Selection by Cross-Validation

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