Time Series Cross-Validation

First published: 2016

Brief summary

Hyndman note on rolling-origin evaluation.

Article

Time Series Cross-Validation is covered by the linked source. Hyndman note on rolling-origin evaluation.

The material from Rob Hyndman presents a forecasting method, software implementation, benchmark or evaluation procedure.

Sound forecasting preserves time order, compares models with simple baselines and evaluates performance at the intended horizon. Point accuracy and uncertainty may both matter.

Performance can deteriorate after structural change. Model selection and preprocessing must use training data only, with final results measured on genuinely unseen periods.

Source details and credits

• Source / publisher: Rob Hyndman
• Source type: Method note
• URL type: WWW
• Credits: Rob Hyndman
• URL: https://robjhyndman.com/hyndsight/tscv/