{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/selecting-time-series-hyperparameters-with","title":"Selecting time-series hyperparameters with the artificial jackknife","arxiv_id":"2002.04697","date":"2020-02-11","proceeding":null,"authors":["Filippo Pellegrino"],"abstract":"This article proposes a generalisation of the delete-$d$ jackknife to solve hyperparameter selection problems for time series. I call it artificial delete-$d$ jackknife to stress that this approach substitutes the classic removal step with a fictitious deletion, wherein observed datapoints are replaced with artificial missing values. This procedure keeps the data order intact and allows plain compatibility with time series. This manuscript justifies the use of this approach asymptotically and shows its finite-sample advantages through simulation studies. Besides, this article describes its real-world advantages by regulating forecasting models for foreign exchange rates.","url_abs":"https://arxiv.org/abs/2002.04697v7","url_pdf":"https://arxiv.org/pdf/2002.04697v7.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"selecting-time-series-hyperparameters-with","repo_url":"https://github.com/fipelle/ElasticNetVAR.jl","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"selecting-time-series-hyperparameters-with","repo_url":"https://github.com/fipelle/replication-pellegrino-2022-hyperparameters","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[{"task_slug":"missing-values","task_name":"Missing Values"},{"task_slug":"time-series-1","task_name":"Time Series"},{"task_slug":"time-series","task_name":"Time Series Analysis"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}