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Erschienen in:
1988 | OriginalPaper | Buchkapitel
On Cross-Validation for Predictor Evaluation in Time Series
verfasst von : Tom A. B. Snijders
Erschienen in: On Model Uncertainty and its Statistical Implications
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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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.