All Questions
Tagged with moving-window cross-validation
5 questions
3
votes
1
answer
152
views
In sliding window regression, what is the best way to select my training window and test set size?
I am trying to forecast an index option's implied volatility using a sliding window regression and I'm a little confused on how I can go about cross validating with respect to the training and test ...
0
votes
2
answers
812
views
Exact steps for rolling window CV evaluation or sliding window CV evaluation for SARIMA
So far I have using this process:
1)split data into training and test
2)do model selection(p,d,q, P,D,Q,etc) using training data(in this case, I used autoarima)
...
- 95
1
vote
2
answers
944
views
Cross Validation for Time Series Classification (Not Forecasting!)
Is it possible to use regular k-fold cross validation where the folds contain entire time series in time series classification? I'm asking because most sources discussing cross validation with time ...
1
vote
0
answers
115
views
Average time series forecast errors from cross-validation with rolling origin
I'm calculating the MAPE and RMSE over a rolling origin cross-validation with fixed forecast interval for several models. For example, for a daily series with 3 years, I'm training my model with 2 ...
- 141
9
votes
1
answer
15k
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How to decide moving window size for time series prediction?
I have a model to predict +1 day ahead of this time series.
Looking at the chart you can notice some seasonality every 5 days. I suspect using a moving window as training set could help me making a ...
- 1,250