Bootstrap aggregating (bagging), is a very useful averaging method to improve accuracy and avoids overfitting, in modeling the time series. It also helps stability so that we don’t have to do Box-Cox transformation to the data.

Modeling time series data is difficult because the data are autocorrelated. In this case, moving block bootstrap (MBB) should be preferred because MBB resamples the data inside overlapping blocks to…

It is always hard to find a proper model to forecast time series data. One of the reasons is that models that use time-series data often expose to serial correlation. In this article, we will compare k nearest neighbor (KNN) regression which is a supervised machine learning method, with a more classical and stochastic process, autoregressive integrated moving average (ARIMA).

We will use the monthly prices of refined gold futures(XAUTRY) for one gram…