Using cross-validation methods to select time series models: promises and pitfalls

DOI10.1111/BMSP.12330zbMATH Open1540.62207MaRDI QIDQ6559931

Siwei Liu, Di Jody Zhou

Publication date: 21 June 2024

Published in: British Journal of Mathematical \& Statistical Psychology (Search for Journal in Brave)

zbMATH Keywords

time seriescross-validationautoregressive modelinformation criteriavector autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to psychology (62P15)

Cites Work

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