时间序列交叉验证

最新推荐文章于 2025-09-22 10:09:39 发布

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最新推荐文章于 2025-09-22 10:09:39 发布 · 2k 阅读

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本文遵循时间序列机器学习的方法，推荐使用滚动原点评价（又称滚动原点再校准评价）进行交叉验证，这是一种嵌套交叉验证形式，能提供接近无偏的误差估计。在确保训练、验证和测试集的机构一致性的前提下，通过减少初始数据集的预测者数量，解决优化问题，形成三个阶段各自包含约10个机构的数据集。

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https://www.mdpi.com/1099-4300/21/10/1015/htm#FD3-entropy-21-01015

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#For cross-validation, we follow the time-series machine-learning literature and propose the use of rolling-origin evaluation [24], also known as rolling-origin-recalibration evaluation [25]. These are forms of nested cross-validation, which should give an almost unbiased estimate of error [23]. Once the number of institutions (forecasters) that we could be used to properly define the training, validation and test sets are selected, we can start to solve the optimization problem. As we will have already noticed, the institutions must be the same in the training, testing and validation sets. If this condition is not fulfilled, the problem will not be well defined. To solve this issue, in our application (see Section 4), the dimensionality of the initial data bank was reduced from 21 to around 10 forecasters satisfying the condition of existence of data fo

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