Leave-one-out cross-validation

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Presentation transcript:

Leave-one-out cross-validation

Leave-one-out cross-validation

Leave-k-out cross-validation

Leave-k-out cross-validation

Retrospective forecasting

CPT and Probabilistic Forecasts The forecast errors are assumed to be normally distributed, and the variance of the errors is calculated from the cross-validated predictions (the retroactive error variance or fitted error variance can be used if desired). Given a forecast, therefore, a prediction interval can be specified for a given level of confidence. The interval will be wider if the error variance is larger (i.e. if the cross-validated skill is weak).