Bengio, Yoshua; Gingras, François; Nadeau, Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2002
This paper studies an out-of-sample statistic for time-series prediction that is analogous to the widely used R2 in …-sample statistic. We propose and study methods to estimate the variance of this out-of-sample statistic. We suggest that the out-of-sample … statistic is more robust to distributional and asymptotic assumptions behind many tests for in-sample statistics. Furthermore we …
