4 min readTime Series
A Score That Loses to Doing Nothing
A five-nearest-neighbour model scores 0.9983 under random five-fold cross-validation on a random walk, a series whose increments are by construction unpredictable. Evaluated forward in time it scores 0.6559 with an RMSE 12.44 times larger, and loses to carrying the last observed value forward. The split, not the model, produced the first number.
StatisticsMachine Learning