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On Model Selection Based on Validation with Applications to Pressure and Temperature Prognosis

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  • U. Hjorth
  • L. Holmqvist

Abstract

Model selection by cross‐validation is applied to multivariate autoregressive models for weather data. This is done in a new manner such that the main effects of the model selection are included in the cross‐validation measure. Models selected from different lists of explanatory variables are compared by the method. Examples of competitive short‐time forecasts are given for pressure 6‐24 hr ahead and temperature 6 hr ahead.

Suggested Citation

  • U. Hjorth & L. Holmqvist, 1981. "On Model Selection Based on Validation with Applications to Pressure and Temperature Prognosis," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 30(3), pages 264-274, November.
    • Handle: RePEc:bla:jorssc:v:30:y:1981:i:3:p:264-274
    DOI: 10.2307/2346350
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