arXiv 5 Dec 2025 · Statistics — Methodology
arXiv:2512.05900 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Christoph Bergmeir and Rob J. Hyndman and Bonsoo Koo (2018) A note on the validity of cross-validation for evaluating autoregressive time series prediction | 1.000 | 8 | 3 | 100% |
| 2 | P. Burman and D. Nolan (1992) DATA-DEPENDENT ESTIMATION OF PREDICTION FUNCTIONS | 1.000 | 7 | 3 | 100% |
| 3 | Jean Opsomer and Yuedong Wang and Yuhong Yang (2001) Nonparametric Regression with Correlated Errors | 1.000 | 5 | 3 | 100% |
| 4 | N. S. Altman (1990) Kernel Smoothing of Data With Correlated Errors | 0.737 | 3 | 2 | 100% |
| 5 | Jeffrey D. Hart (1991) Kernel Regression Estimation With Time Series Errors | 0.737 | 3 | 2 | 100% |
| 6 | Sylvain Arlot and Alain Celisse (2010) A survey of cross-validation procedures for model selection | 0.644 | 2 | 2 | 100% |
| 7 | Prabir Burman and Edmond Chow and Deborah Nolan (1994) A Cross-Validatory Method for Dependent Data | 0.644 | 2 | 2 | 100% |
| 8 | Stanislav Anatolyev (2005) GMM, GEL, Serial Correlation, and Asymptotic Bias | 0.405 | 1 | 1 | 100% |
| 9 | Yong Bao and Aman Ullah (2007) The second-order bias and mean squared error of estimators in time-series models | 0.405 | 1 | 1 | 100% |
| 10 | Peter J. Brockwell and Richard A. Davis (1991) Time Series: Theory and Methods | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 23 scored citations.