time of day, day of week, on holidays, by season, and by ambient temperature (e.g., a hot spell or a cold snap). Cross-validation must be tailored to the predictive goal. For example, in predicting energy consumption, the quantity of interest may be the prediction for next week’s energy consumption given historical data and current weather covariates. This suggests an alternative to cross-validation, wherein individual weeks are each tested given previous data. This often allows comparing how well predict