Cross Validation of Prediction Models for Seasonal Time Series by Parametric Bootstrapping
Out-of-sample prediction for the final portion of a sample is a popular tool for model selection in model-based forecasting. We suggest to add a simulation step to this exercise, where pseudo-samples are generated (parametrically bootstrapped), conditional on the observed data and on any of the can...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-04-01
|
| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/308 |