A Note on the Finite Sample Bias in Time Series Cross-Validation
Methodology
2025-12-08 v1 Econometrics
Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.2512.05900,
title = {A Note on the Finite Sample Bias in Time Series Cross-Validation},
author = {Amaze Lusompa},
journal= {arXiv preprint arXiv:2512.05900},
year = {2025}
}