A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction
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References listed on IDEAS
- Borra, Simone & Di Ciaccio, Agostino, 2010. "Measuring the prediction error. A comparison of cross-validation, bootstrap and covariance penalty methods," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 2976-2989, December.
- Bergmeir, Christoph & Costantini, Mauro & Benítez, José M., 2014. "On the usefulness of cross-validation for directional forecast evaluation," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 132-143.
- Racine, Jeff, 2000. "Consistent cross-validatory model-selection for dependent data: hv-block cross-validation," Journal of Econometrics, Elsevier, vol. 99(1), pages 39-61, November.
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- repec:eee:appene:v:205:y:2017:i:c:p:116-129 is not listed on IDEAS
- repec:eee:eneeco:v:66:y:2017:i:c:p:228-237 is not listed on IDEAS
- Fischer, Thomas & Krauss, Christopher & Treichel, Alex, 2018. "Machine learning for time series forecasting - a simulation study," FAU Discussion Papers in Economics 02/2018, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
More about this item
Keywordscross-validation; time series; auto regression.;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-05-02 (All new papers)
- NEP-ECM-2015-05-02 (Econometrics)
- NEP-ETS-2015-05-02 (Econometric Time Series)
- NEP-FOR-2015-05-02 (Forecasting)
- NEP-ORE-2015-05-02 (Operations Research)
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