Quote:
Originally Posted by Elroch
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.
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In financial time series, the data set is often constructed along these lines, where a sliding window of say
points is used to construct the training examples, with the first
points taken as input and the
th point taken as output.