Corpus ID: 211082673

Selecting time-series hyperparameters with the artificial jackknife.

@article{Pellegrino2020SelectingTH,
  title={Selecting time-series hyperparameters with the artificial jackknife.},
  author={Filippo Pellegrino},
  journal={arXiv: Methodology},
  year={2020}
}
  • Filippo Pellegrino
  • Published 2020
  • Mathematics
  • arXiv: Methodology
  • This article proposes a generalisation of the delete-$d$ jackknife to solve hyperparameter selection problems for time series. This novel technique is compatible with dependent data since it substitutes the jackknife removal step with a fictitious deletion, wherein observed datapoints are replaced with artificial missing values. In order to emphasise this point, I called this methodology artificial delete-$d$ jackknife. As an illustration, it is used to regulate vector autoregressions with an… CONTINUE READING

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