A Note on the Finite Sample Bias in Time Series Cross-Validation
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arXiv
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866908695170908160 |
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| author | Lusompa, Amaze |
| author_facet | Lusompa, Amaze |
| contents | It is well known that model selection via cross validation can be biased for time series models. However, many researchers have argued that this bias does not apply when using cross-validation with vector autoregressions (VAR) or with time series models whose errors follow a martingale-like structure. I show that even under these circumstances, performing cross-validation on time series data will still generate bias in general. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_05900 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | A Note on the Finite Sample Bias in Time Series Cross-Validation Lusompa, Amaze Methodology Econometrics Statistics Theory It is well known that model selection via cross validation can be biased for time series models. However, many researchers have argued that this bias does not apply when using cross-validation with vector autoregressions (VAR) or with time series models whose errors follow a martingale-like structure. I show that even under these circumstances, performing cross-validation on time series data will still generate bias in general. |
| title | A Note on the Finite Sample Bias in Time Series Cross-Validation |
| topic | Methodology Econometrics Statistics Theory |
| url | https://arxiv.org/abs/2512.05900 |