Consistent cross-validatory model-selection for dependent data: hv-block cross-validation

This paper considers the impact of Shao's (1993) recent results regarding the asymptotic inconsistency of model selection via leave-one-out cross-validation on h-block cross-validation, a cross-validatory method for dependent data proposed by Burman, Chow and Nolan (1994, Journal of Time Series Analysis 13, 189–207). It is shown that h-block cross-validation is inconsistent in the sense of Shao (1993, Journal of American Statistical Association …