Hold-out estimates of prediction models for Markov processes

Abstract: We consider the selection of prediction models for Markovian time series. For this purpose, we study the theoretical properties of the hold-out method. In the econometrics literature, the hold-out method is called out-of-sample and is the main method to select a suitable time series model. This method consists of estimating models on a learning set and picking up the model with minimal empirical error on a validation set of future observations. Hold-out estimates are well studied in the independent case, but, as far as we know, this is not the case when the validation set is not independent of the learning set. In this paper, assuming uniform ergodicity of the Markov chain, we state generalization bounds and oracle inequalities for such method; in particular, we show that the out-of-sample selection method is adaptative to noise condition.