Linked Questions
10 questions linked to/from Cross-validation techniques for time series data
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Why is K-fold cross validation bad for time series? [duplicate]
If you are about to answer "because k-fold incorporates future information", I'm going to challenge you on that answer :)
If my time series exhibits some pattern (e.g. annual seasonality), that ...
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Does cross-validation work for this type of modelling time-series [duplicate]
I am new to working with time series. I have come across the statement that k-fold cross-validation is not be suitable for time-series, but I have a doubt that this restriction does not apply to my ...
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What is Combinatorial Purged Cross-Validation for time series data?
I'm trying to understand the "Combinatorial Purged Cross-Validation" technique for time series data described in Marcos Lopez de Prado's "Advances in Financial Machine Learning" book (p. 163).
The ...
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Sliding window validation for time series
I have a broad question about sliding window validation. Specifically, I am looking at using Rapid Miner to predict future values of a financial series using "lagged" values of that series and other ...
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When we should NOT use k-fold cross validation to assess the predictor?
Does anybody know in which cases --of learning and predicting--, it is better to use "validation test" or something else, instead of "k-fold cross validation" to assess the performance of the ...
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References on data partitioning (cross-validation, train/val/test set construction) when data are non-IID
Consider a prediction setting in which we are interested in training a regression or classification function $f$ with inputs $X \in \mathbb{R}^k$ and target $Y$, and assessing its expected ...
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Is data leakage from time series autocorrelation actual data leakage?
That's the question: Is data leakage from time series autocorrelation actual data leakage?
To explain it with an example (I will separate the example in numbers to give more structure to the ...
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Neural Network vs regression in prediction
I collected a sample of 600 observation (time series data) with 100 predictors variables in order to predict another one. I want to use some prediction models but I know that, unfortunately, ...
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Cross Validation Strategy when having subtle time dependence
Lets assume I would like to predict the individual pupil with the best performance in class at an exam. I have around 12000 data samples (12000 pupils in database) over 7 years (10 -16)
I have ...
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Cross Validation in application of clustering on a collection of similarly behaving time series
I'm trying to understand how and at which point can one apply Cross Validation for time series data. If i'm not wrong CV increases generalisation so that our model has less bias in case the data is ...
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