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I have a model that trains itself by looking at the last 12 months of data, and then predicts the next month (out of sample).

Say I have 24 months worth of data, thus allowing me 12 opportunities to train and test my model (train: months 1-12; test: month 13; train: months 2-13; test: month 14, etc.)

How would I cross-validate this?

kjetil b halvorsen
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user2723494
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  • [I found this post to be very helpful](https://machinelearningmastery.com/backtest-machine-learning-models-time-series-forecasting/) There are a few methods that are accepted including using rolling windows, past-only, or chunking the data sets into more splits. – user2723494 Nov 12 '18 at 23:34

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