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

Ai Deng

Economics Letters, 2023, vol. 233, issue C

Abstract: We provide a theoretical result for the time series-based cross validation that sheds light on the choice of validation sample size. We also consider an alternative way to construct validation samples and demonstrate the improved performance in certain situations via simulations.

Keywords: Cross-validation; Model selection; Validation sample (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523003944

DOI: 10.1016/j.econlet.2023.111369

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