All Questions
2 questions
1
vote
1
answer
44
views
Strange increasing in $R^2$ when MAE and RMSE worsened for OLS
I am currently working on my thesis, which involves using machine learning to predict non-stationary and seasonal time series. I am encountering some results that I cannot explain.
While I cannot go ...
- 11
3
votes
1
answer
151
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 ...
