Using cross-validation methods to select time series models: promises and pitfalls

DOI10.1111/BMSP.12330MaRDI QIDQ6559931zbMATH OpenFDO

Authors Siwei Liu, Di Jody Zhou

Publication date 21 June 2024

Published in British Journal of Mathematical \& Statistical Psychology (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1111/BMSP.12330

zbMATH Keywords

autoregressive modelcross-validationinformation criteriatime seriesvector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to psychology (62P15)

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Cites work

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• A systematic study into the factors that affect the predictive accuracy of multilevel VAR(1) models
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• Cross-Validation: What Does It Estimate and How Well Does It Do It?
• Estimating the dimension of a model
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• Person-specific versus multilevel autoregressive models: accuracy in parameter estimates at the population and individual levels
• The Elements of Statistical Learning
• The Predictive Sample Reuse Method with Applications
• To explain or to predict?

Cited in

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• Predictive performance of psychological tests: is it better to use items than subscales?
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