Posts Tagged ‘ model building ’

Time series cross-validation 4: forecasting the S&P 500

June 11, 2012
By
Time series cross-validation 4: forecasting the S&P 500

I finally got around to publishing my time series cross-validation package to github, and I plan to push it out to CRAN  shortly.You can clone the repo using github for mac, for windows, or linux, and then run the following script to...

Read more »

Functional and Parallel time series cross-validation

November 21, 2011
By
Functional and Parallel time series cross-validation

Rob Hyndman has a great post on his blog with example on how to cross-validate a time series model.  The basic concept is simple:  You start with a minimum number of observations (k), and fit a model (e.g. an arima model) to those observation...

Read more »