Can K-Fold Cross-Validation Be Used for Time Series Data?

Can K-Fold cross-validation be applied to time series data?

K-Fold cross-validation is generally not suitable for time series data due to its temporal dependencies.

Why can't I use K-Fold for time series? What are the issues?

The main issue is that K-Fold shuffles the data, which disrupts the time order, leading to data leakage.

What alternatives do I have for validating time series models?

You can use techniques like Time Series Split, Walk-Forward Validation, or Rolling Forecast.

Can you explain how Time Series Split works?

Sure! Time Series Split creates training and test sets while preserving the order of observations, allowing for realistic evaluation.