Time Series Cross-Validation Techniques for determining the order of the Autoregressive models

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P.Kiran Kumar
Dr. B. Sarojamma

Abstract

In the present research paper, we introduced some techniques of cross-validation for time series data. Six different types of time series cross-validation techniques are presented and also discussed various problems in selecting the initial training sample size and the size of training folds. In this paper, all cross-validation techniques, most appropriate techniques for model selection in time series analysis and advantages of the each technique are discussed with empirical study.

Keywords: Time series cross-validation, Prediction error, Order of AR model, Training sample, Test sample.

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