Multifold Predictive Validation in ARMAX Time Series Models
ARMAX 时间序列模型的多折预测验证
This article presents a new procedure for multifold predictive validation in time series. The procedure is based on the so-called “filtered residuals,” in-sample prediction errors evaluated in such a way that they are similar to out-of-sample ones. The filtered residuals are obtained from parameters estimated by eliminating from the estimation process the estimated innovations at the points to be predicted. Thus, instead of using the deletion of observations to validate the…