R help - Jun 2005 - Cross-validation

Dear R-help,
 
I was wondering if somebody has a strong opinion on the following matter:
 
Would you see appropriate to apply the leave-one-out cross validation techinque
in time series modelling?
 
Thanks in advance,
Tom

__________________________________________________



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I would hesitate long before doing that.  People do similar things, 
but:

"Cross-validation and bootstrapping become considerably more complicated 
for time series data; see Hjorth (1994) and Snijders (1988)."
http://www.faqs.org/faqs/ai-faq/neural-nets/part3/section-12.html

	  I just tried www.r-project.org -> search -> "R site search"
for "time
series cross validation", "jackknife time series" and
"bootstrap time
series".  I found the above using Google for the same terms.

	  spencer graves

Werner Bier wrote:
> Dear R-help,
>  
> I was wondering if somebody has a strong opinion on the following matter:
>  
> Would you see appropriate to apply the leave-one-out cross validation
techinque in time series modelling?
>  
> Thanks in advance,
> Tom
> 
> __________________________________________________
> 
> 
> 
> 	[[alternative HTML version deleted]]
> 
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-- 
Spencer Graves, PhD
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