A Note on the Finite Sample Bias in Time Series Cross-Validation

Amaze Lusompa

Papers from arXiv.org

Abstract: It is well known that model selection via cross validation can be biased for time series models. However, many researchers have argued that this bias does not apply when using cross-validation with vector autoregressions (VAR) or with time series models whose errors follow a martingale-like structure. I show that even under these circumstances, performing cross-validation on time series data will still generate bias in general.

Date: 2025-12
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