schemes are achieved by a cross-validation procedure; this leads to consistent estimators of the risk premia and factor …

we refer to as the analytic and bootstrap-after-cross-validation methods. For both methods, we derive nonasymptotic error …

conventional cross-validation techniques for model selection and model assessment, spatial dependence between training and test … bias in cross-validation errors of tree-based algorithms induced by spatial autocorrelation and proposes a bias …-reduced spatial cross-validation strategy. The findings confirm that error estimates from non-spatial resampling methods are overly …