In the context of the prediction error method for one step ahead prediction in a single time series, a conventional and two cross-validatory procedures are proposed for prediction of squared prediction errors, and also for choosing among several predictor families. These procedures are compared in a simulation study. The conventional procedure appears to perform at least as well as the cross-validatory procedures.
CITATION STYLE
Snijders, T. A. B. (1988). On Cross-Validation for Predictor Evaluation in Time Series (pp. 56–69). https://doi.org/10.1007/978-3-642-61564-1_4
Mendeley helps you to discover research relevant for your work.