Time series cross-validation for lasso

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Nikolaos Vasilas 2021-3-17

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https://ww2.mathworks.cn/matlabcentral/answers/776182-time-series-cross-validation-for-lasso

编辑： Swetha Polemoni 2021-3-31

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.

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Answer 1

Swetha Polemoni 2021-3-31

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https://ww2.mathworks.cn/matlabcentral/answers/776182-time-series-cross-validation-for-lasso#answer_663159

编辑：Swetha Polemoni 2021-3-31

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.