A Procedure for Identification of Appropriate State Space and ARIMA Models Based on Time-Series Cross-Validation
In this work, a cross-validation procedure is used to identify an appropriate Autoregressive Integrated Moving Average model and an appropriate state space model for a time series. A minimum size for the training set is specified. The procedure is based on one-step forecasts and uses different train...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-11-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1999-4893/9/4/76 |