Tagged Questions

0
votes
0answers
38 views

How to decide the order of my ARMAX-model for each component?

I'm doing time series analysis with 78888 x 8 matrix of data. The matrix includes the response data (the series I'm interested in predicting) and exogenous data. The data is hourly sampled and ...
2
votes
1answer
394 views

Cross-validation with neural networks yielding worse results than a standard neural network

Summary: when using a 10-fold cross-validation procedure where each training set is used to generate N bootstrap samples for processing with NNs. How do I provide my NN with correct sequence and ...
1
vote
0answers
224 views

optimal choice of smooth.spline parameter?

I'm analyzing a time series (terms of trades) on which I want to perform a trend estimation by nonparametric methods like the above mentioned. By the way, I'm a total beginner with R and using the ...
0
votes
0answers
148 views

Multiple Regression Model determination suggestions? (Time-series** or Cross-section)

What I have to model is the trend that occurs after a transient event (water pump failure, water pump repair etc.) where pump flow goes to 0 in order to forecast the pump flow after a planned event in ...
1
vote
0answers
256 views

Cross validation using experimental design methods?

I have a question about using experimental design methods for cross validation in a non-conventional approach. I will use an illustration to explain the question. Imagine you have 100 time series ...
4
votes
1answer
233 views

Jack-knife with time series models

Introduction I am aiming to forecast the annual growth rates for a number of macroeconomic indicators (denote one by $Y_t$). One of the tasks is to test the forecasting performance of rival time ...
5
votes
2answers
604 views

What common forecasting models can be seen as special cases of ARIMA models?

This morning I woke up wondering (this could be due to the fact that last night I didn't get much sleep): since cross-validation seems to be the cornerstone of proper time-series forecasting, what are ...
2
votes
0answers
125 views

Calculation of seasonal (annual) component of time-series: use of cross-validation?

I've been working for almost a year on electricity load forecasting in collaboration with some climate scientists, using temperature data obtained from models. Instead of using directly temperature ...
0
votes
1answer
333 views

Using rolling windows to compute out of sample accuracy

I’ve already written this question, but probably I didn’t specified it well, for this reason I write it again. I need to use a random walk model (no-change) yt = yt(1+t) to compute the ratio of RMSFE. ...
2
votes
0answers
117 views

How to use cross validation to estimate autocorrelation?

I have a stationary time series and I want to calculate the autocorrelation coefficient of order 1. For that I use OLS. I know the autocorrelation parameters change over the time. Thus it is not ...
5
votes
1answer
300 views

k-fold CV of forecasting financial time series — is performance on last fold more relevant?

I am working on an ANN-based forecasting model for a financial time series. I'm using 5-fold cross-validation and the average performance is so so. Performance on the last fold (the iteration where ...
2
votes
2answers
576 views

Using k-fold cross-validation for time-series model selection

Question: I want to be sure of something, is the use of k-fold cross-validation with time-series is straightforward, or one need special attention before using it? Background: I'm modeling a time ...
2
votes
1answer
188 views

Cross-validating for model parameters with time series

This question's context is time series forecasting using regression, with multivariate training data. With a regularization method like LARS w/ LASSO, elastic net, or ridge, we need to decide on the ...
11
votes
5answers
2k views

Cross-validating time-series analysis

I've been using the caret package in R to build predictive models for classification and regression. Caret provides a unified interface to tune model hyper-parameters by cross validation or boot ...
5
votes
1answer
441 views

Ordering of time series for machine learning

After reading one of the "Research tips" of R.J. Hyndman about cross-validation and time series, I came back to an old question of mine that I'll try to formulate here. The idea is that in ...