What cross validation technique would you use on time series data set? Is it k-fold or LOOCV?

by

Neither.

In time series problem, k fold can be troublesome because there might be some pattern in year 4 or 5 which is not in year 3. Resampling the data set will separate these trends, and we might end up validation on past years, which is incorrect. Instead, we can use forward chaining strategy with 5 fold as shown below:

  • fold 1 : training [1], test [2]
  • fold 2 : training [1 2], test [3]
  • fold 3 : training [1 2 3], test [4]
  • fold 4 : training [1 2 3 4], test [5]
  • fold 5 : training [1 2 3 4 5], test [6]
    where 1,2,3,4,5,6 represents “year”.