Hold-out estimates of prediction models for Markov processes
Hold-out estimates of prediction models for Markov processes
We consider the selection of prediction models for Markovian time series. For this purpose, we study the theoretical properties of the hold-out method. In the econometrics literature, the hold-out method is called āout-of-sampleā and is the main method to select a suitable time series model. This method consists of estimating ā¦