Cross-validatory model selection for Bayesian autoregressions with exogenous regressors
含外生回归变量的贝叶斯自回归模型:交叉验证与模型选择
Bayesian cross-validation (CV) is a popular method for predictive model assessment that is simple to implement and broadly applicable. A wide range of CV schemes is available for time series applications, including generic leave-one-out (LOO) and K-fold methods, as well as specialized approaches intended to deal with serial dependence such as leave-future-out (LFO), h-block, and hv-block. Existing large-sample results show that both specialized and generic methods are…