{"ID":2832644,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2512.05900","arxiv_id":"2512.05900","title":"A Note on the Finite Sample Bias in Time Series Cross-Validation","abstract":"It is well known that model selection via cross validation can be biased for time series models. However, many researchers have argued that this bias does not apply when using cross-validation with vector autoregressions (VAR) or with time series models whose errors follow a martingale-like structure. I show that even under these circumstances, performing cross-validation on time series data will still generate bias in general.","short_abstract":"It is well known that model selection via cross validation can be biased for time series models. However, many researchers have argued that this bias does not apply when using cross-validation with vector autoregressions (VAR) or with time series models whose errors follow a martingale-like structure. I show that even...","url_abs":"https://arxiv.org/abs/2512.05900","url_pdf":"https://arxiv.org/pdf/2512.05900v1","authors":"[\"Amaze Lusompa\"]","published":"2025-12-05T17:23:54Z","proceeding":"stat.ME","tasks":"[\"stat.ME\",\"econ.EM\",\"math.ST\"]","methods":"[]","has_code":false}