Machine learning is increasingly applied to time series data, as it constitutes an attractive alternative to forecasts based on traditional time series models. For independent and identically distributed observations, cross-validation is the prevalent scheme for estimating out-of-sample...

Banks are concerned with the assessment of the risk of financial distress before giving out a loan. Many researchers proposed the use of models based on the Neural Networks in order to help the banker better make a decision. The objective of this paper is to explore a new practical way based on...