# Tagged Questions

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### How is Hyndman's explanation of proper Time Series Cross Validation different from Leave-One-Out?

Hyndman's great explanation of proper time series CV is at the bottom of the page in the following link: http://robjhyndman.com/hyndsight/crossvalidation/ Leave-One-Out illustration in the following ...
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### How do you do time series cross-validation using python? [closed]

Also, any tutorials/blogs available that you are aware of?
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### Optimisation model paramaters for time series data using k-fold cross validation

I'm trying to optimise model parameters for times series data using k-fold cross-validation. I'm using the forward chaining strategy described here: Using k-fold cross-validation for time-series ...
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### Cross correlation with R

I've done a cross correlation but I'm not sure if what I'm doing is correct... Here are the command lines I've used so far (this one is for the first time series. It represents the numbers of ...
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### Backtesting/cross-validation for time-series and prediction intervals

Suppose I carry out the following exercise with my trusty statistics software: Fit some time-series model to the data $y_1,\dots,y_t$ and calculate $\hat{y}_{t+1}$, the fore­cast of the next ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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. ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...