All Questions

2
votes
1answer
272 views

in-sample data vs out-of-sample data

I know that a train-validation-test splits the data into: a training dataset - obviously my "in-sample" data a validation dataset a test data set - obviously my "out-of-sample" data My question is: ...
0
votes
1answer
810 views

Which one should I use for rolling forecast, dynamic or static?

I'm doing a rolling forecast using a fitted arma-garch model, but I'm confused regarding the rolling method, my window length is 1209 obs, and I roll 100 times, and each time I reset my window to ...
0
votes
1answer
81 views

Sample to use when doing ARMA order selection, OLS, GARCH estimation

I have a really basic question which I need clarifying on and would appreciate a quick response to this if possible. I am forecasting conditional variance (volatility). I have in-sample from 1996-...
1
vote
0answers
138 views

Data Partition for In sample and out of sample forecasting in neural network

I got confused with how to do data partition that reflects in sample and out of sample forecast when I do time series forecasting in neural network. What I understand is we have to divide data into: -...
1
vote
0answers
95 views

Can you compare in-sample vs. out-of-sample using a MSPE?

Is it possible to compare in-sample and out-of-sample forecasts by calculating a MSPE for each? For example, my in sample period is say 12/1987-12/2015, and my out-of-sample forecasting period is 12/...
3
votes
1answer
11k views

Out of Sample and In Sample testing

I am very confused in testing regressions and know that there are many explanations available online, but I am still not getting anything it in my mind. Suppose I have daily data for past 100 days, I ...
1
vote
0answers
4k views

In-Sample vs. Out-of-Sample One-Step Ahead Forecasts

I'm fairly new to forecasting but I find all of this quote fascinating and hope to learn something from all of you. I have 500 observations and I'm tasked with the following: "compute recursive (...
1
vote
2answers
2k views

what does it mean when out of sample AUC is greater than in sample AUC?

I am fitting a logistic regression model on a data set with about 200,000 observation and 100 features. According to SAS output, the model converged correctly with an in-sample AUC of 0.85. However, ...
1
vote
1answer
269 views

Predictive modeling techniques for in-sample rather than out-of-sample prediction?

Is it appropriate to apply predictive modeling variable selection and shrinkage techniques (for example, ridge regression or lasso) for in-sample prediction rather than out-of-sample prediction? ...
12
votes
1answer
46k views

Difference between “in-sample” and “pseudo out-of-sample” forecasts

Is there an explicit difference between in-sample forecasts and pseudo out-of-sample forecasts. Both is meant in the context of evaluating and comparing forecasting models.