Time series cross-validation for lasso

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Nikolaos Vasilas
Nikolaos Vasilas on 17 Mar 2021
Edited: Swetha Polemoni on 31 Mar 2021
I am trying to estimate a lasso model using time series data and I would like to use cross-validation to select the lamda parameter. However, K-flod validation randomly shuffles the data and therefore it is not optimal in a time-series context; something like forward chaining would be more appropriate. I have no clue how to do this in matlab as the lasso or the cvpartition functions do not offer such option.

Answers (1)

Swetha Polemoni
Swetha Polemoni on 31 Mar 2021
Edited: Swetha Polemoni on 31 Mar 2021
Hi Nikolaos Vasilas
K-fold validation without random shuffling of data/ time series cross-validation is not supported by Matlab This requirement has been brought to the notice of developers. It might be considered in future release.


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