On Model Selection Based on Validation with Applications to Pressure and Temperature Prognosis

U. Hjorth and L. Holmqvist

Journal of the Royal Statistical Society Series C, 1981, vol. 30, issue 3, 264-274

Abstract: Model selection by cross‐validation is applied to multivariate autoregressive models for weather data. This is done in a new manner such that the main effects of the model selection are included in the cross‐validation measure. Models selected from different lists of explanatory variables are compared by the method. Examples of competitive short‐time forecasts are given for pressure 6‐24 hr ahead and temperature 6 hr ahead.

Date: 1981
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