Ordinary -fold randomly holds out folds under an IID assumption. Financial event labels overlap and features are serially dependent, so that procedure leaks. Purged -fold and purging/embargoes repair the split. This note's deliverable is a split diagram in prose/table for the five-event fixture, not a second implementation of purged CV.
Learning objectives. By the end of this note you should be able to:
- contrast library -fold with purged/embargoed splits;
- purge and embargo the fixture when is held out;
- state what the embargo controls that purging does not;
- produce an exclusion ledger as the validation artefact.
In this lesson
- Ordinary -fold versus finance-aware splits
- Fixture split diagram
- Deliverable: exclusion ledger
Before you start
- Sample uniqueness and weights
- Purged K-Fold Cross-Validation: Eliminating Look-Ahead Leakage
- Purging and Embargoes
- Cross-Validation and Information Criteria
The full lesson, with worked examples and exercise solutions, is for members.
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