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Old 05-19-2013, 02:35 AM
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yaser yaser is offline
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Join Date: Aug 2009
Location: Pasadena, California, USA
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Default Re: Machine Learning and census models

Quote:
Originally Posted by Elroch View Post
On reflection, I suspect that if the aim is extrapolation into the future a more principled alternative to function approximation with leave-one-out cross-validation might be a variation where the in sample data for each run consists only of the data preceding the out of sample data point.
In financial time series, the data set is often constructed along these lines, where a sliding window of say T points is used to construct the training examples, with the first T-1 points taken as input and the Tth point taken as output.
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