A note on the validity of cross-validation for evaluating autoregressive time series prediction

• Published in: Computational statistics & data analysis Vol. 120; pp. 70 - 83
• Main Authors: Bergmeir, Christoph, Hyndman, Rob J., Koo, Bonsoo
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.04.2018
• Subjects: Autoregression; Cross-validation; Time series; Autoregression; Cross-validation; Time series

One of the most widely used standard procedures for model evaluation in classification and regression is K-fold cross-validation (CV). However, when it comes to time series forecasting, because of the inherent serial correlation and potential non-stationarity of the data, its application is not stra...