• Corpus ID: 15589295

A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction

@inproceedings{Bergmeir2015ANO,
  title={A Note on the Validity of Cross-Validation for Evaluating Time Series Prediction},
  author={C. Bergmeir and Rob J Hyndman and Bonsoo Koo},
  year={2015}
}
One of the most widely used standard procedures for model evaluation in classification and regression is K-fold cross-validation (CV. [] Key Result Furthermore, we present a simulation study where we show empirically that K-fold CV performs favourably compared to both OOS evaluation and other time-series-specific techniques such as non-dependent cross-validation.

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