# Questions tagged [moving-window]

A window is a fixed-length subset of consecutive observations of a time series. The window is moved along the time series at a constant rate. AKA "rolling window".

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### Strange increasing in $R^2$ when MAE and RMSE worsened for OLS

I am currently working on my thesis, which involves using machine learning to predict non-stationary and seasonal time series. I am encountering some results that I cannot explain. While I cannot go ...
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### Determine a robust trend from noisy time series data, when start and end years have a material effect

I have about 20 years of data, each year has a number of observations. If I put a linear trend through the data, I get a trend, and this trend differs based on the the choice of start and end year, ...
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### Autoregession meets multiple regression? - Help with verbiage and approach

Needing some help with verbiage and opinions on how I am approaching this model. I have counts of people over the past 24 months. month count 1 100 2 105 ... ... 24 200 First, I reverse the ...
1 vote
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### How to interpret the differences in estimated variances?

I estimated the variance of Bitcoin in several ways using the var command in R, and within a GARCH model. I get series that look a bit similar, but the y-axis gives ...
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### Data leakage in time series forecasting framed as a supervised learning problem

Suppose that I have a simple univariate time series. My goal is to use the value of 3 consecutive days to predict the value of the fourth day. I built my dataset by applying a rolling window that ...
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### Stationarity and moving standard deviation

Suppose $\{X_t\}$ is stationary process. We observe a sample of $N$ observations from the process, i.e., $x_1, x_2, ..., x_N$. The stationarity property implies that the distribution doesn't change ...
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1 vote
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### Smoothing out target variable for spiky demand forecasting

I am trying to predict ambulance demand for the next hour, for a city area in the USA, based on previous demand, weather, large people gatherings, and similar spatio-temporal factors - using Machine ...
109 views

### In sliding window regression, what is the best way to select my training window and test set size?

I am trying to forecast an index option's implied volatility using a sliding window regression and I'm a little confused on how I can go about cross validating with respect to the training and test ...
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### Time based cross-validation for EOM patterns

I want to evaluate different models (ARIMA, MLP, LSTM, regression, etc.) on their performance to predict/forecast stock prices in a period (horizon) of 7 days around month-end. The data for these ...
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### Max of the running average of the kth through nth elements for a given probability distribution

This question is based slightly on https://www.reddit.com/r/AskStatistics/comments/16bqit0/calculating_probability_when_phacking_is_allowed/ Given a variable $X$, let $A_j$ be the average of $X_1$ ...
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### Dynamic Time Warping with rolling window

I have two time series, lets say X and Y with 127 and 64 observations in each respectively. I have applied DTW with global constraint to get the distance and then further used that distance to ...
1 vote
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### rolling mean series - strong autocorrelation

I need to works with time-series of rolling means of a certain variable that comes from the data. I have this rolling means for N different individuals. Call them Y. I would like to test some ...
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### Implementing Random Forest rolling window forecast in R [closed]

I want to forecast a dependent variable and I have some independent variables. First I shifted the dependent variable up, such that I have a supervised problem. For instance in January 2000 the ...
114 views

### Fixed vs rolling forecasts: Empirical evidence

Many sources online recommend that we use a rolling window to make forecasts. As I am in a choice between using a fixed window and a rolling window for my data I am trying to find any empirical ...
1 vote
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### What is the probabilistic meaning of moving window statistics?

Moving window statistics (see this, for example) are sample statistics calculated over moving/rolling windows over a time-series. For example, given the time-series $\{x_1,x_2,\dots\}$ one can ...
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### Exact steps for rolling window CV evaluation or sliding window CV evaluation for SARIMA

So far I have using this process: 1)split data into training and test 2)do model selection(p,d,q, P,D,Q,etc) using training data(in this case, I used autoarima) ...
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1 vote
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### Kernel Smoothing for Time Series data [closed]

I have generated a time series data set of measurements that are a bit noisy and I want to apply kernel smoothing to the data. My time series data is not regular however, meaning that the time ...
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### What is it called when an outlier falls out of a rolling window statistical calculation?

I have a time series $X_t \sim N(0, 1)$. There is a single outlier at index 347, at 8.5 standard deviations from the mean. If I now compute a rolling window standard deviation of $X_t$ with window ...
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1 vote
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### A question about an estimation using moving average and moving standard deviation?

Given a time series data $\{X_t\}_{t = 0}^\infty$, what does its moving average and moving standard deviation estimate when there is no assumption that $\mathbb{E}[X_t] = \text{const}, \forall t$? ...
1 vote
185 views

### Rolling z-score or z-score? [closed]

Suppose that we have some time series data, in what context we use rolling z-score and when do we use z-score?
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1 vote
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### Impact of religious holidays whose dates shift in the Gregorian calendar [closed]

I need to model and predict a quantitative variable that is heavily impacted by events, parties and celebrations. For I seek first to know the impact that has the religious festivals, the ramadan and ...
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### Calculate the daily standard deviation for time series (stock market) in R

I´m modeling with diffrent GARCH-Models the daily standard deviation of a stock market. That includes a rolling forecast model of the daily standard deviation. This works pretty well so far. To ...
1 vote
701 views

### How to analyse results of classification for time series + sliding windows

Here is my context: I have a time series composed of only 1 features. I want to be able to classify between two classes. To get more information out of these data, I am using a sliding time windows. ...
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1 vote
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### Rolling autoregression coefficient

I was reading a paper and I saw that they run a 3-year rolling autoregression for 20 years (using for example 2013-2016 as trailing and 2016-2019 as forwarding) and got only one beta coefficient and ...
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1 vote
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### Cross Validation for Time Series Classification (Not Forecasting!)

Is it possible to use regular k-fold cross validation where the folds contain entire time series in time series classification? I'm asking because most sources discussing cross validation with time ...
383 views

### Lag selection and model instability for ARIMA-GARCH in rolling windows for forecasting

I'm to produce rolling forecasts with an ARIMA-GARCH model using a moving window size of 1000. Given that structural changes in the series might take place at some point in the forecast horizon, is ...
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### Difference between use cases of expanding and rolling window in backtesting

I was reading about different variants of backtesting in time series- expanding window & rolling window. I could find in texts about when to use which, but still I'm sort of unanswered. Here's ...
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### Predict churn in a range of time after observation window is finished

I'm building a churn model. Each user's historic data (observation window) is a constant period, but each observation window contains different dates. For example the next figure: Let's say, that the ...
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### what is it an activity window in churn model?

I know that in a churn model many times you define an observation window (historic data) and a performance window (also dependent window, or response window). I have read an article that the authors (...
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### ARIMA accuracy measures, rolling forecast

Regarding ARIMA model selection and especially accuracy measures several questions came into my mind. To shortly summarize, in my understanding, after necessary transformations/differencing, p and q ...
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### Modifying tsCV function

I tried to modify the tsCV function to seperate between xreg_subset and xreg_future as Im going to use forecasted data for validate and test samples: ...
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### Rolling forecast vs. static training data for financial timeseries?

I want to train a statistical model to predict financial asset returns. I'm wondering whether it would be more effective to train a rolling forecast model rather than training a single model with a ...
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### Rolling vs Recursive vs Fixed Window Regression

What precisely are the differences between rolling, recursive and fixed window regression? As far as I understand, recursive: we train on a period $y(0)$ to $y(n)$ then predict $\hat{y}(n+1)$. Then ...
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### MSGARCH fitting doesn't work for the specific part of the data

I'm trying to do rolling (expanding) window forecast with MSGARCH and the model is failing for very specific $i$. For example I get error for $i=14$ and $i=30$. Data is snp500 returns data between ...
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### Optimal window size for contextual outlier detection

I am looking for methods to detect univariate contextual outliers in time series data. One example application is data from industrial plants in different (unknown) operation modes or slow trends or ...
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### Root-mean-square error when having multiple prediction horizons

I have a basic question about the root-mean-square error (RMSE). I have a prediction using an ARIMA model. I predicted a time series and use a rolling-horizon approach with overlapping or non-...
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### Expected value of rolling variance/standard deviation of an AR(1) process

Consider a random variable following an AR(1) model: $$x_t = \mu+\rho x_{t-1} + \epsilon_t$$ Assumme that $\epsilon_t$ follows $N(0,\sigma^2_\epsilon)$. Now consider the rolling variance and/or ...
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### Discovering peaks/patterns in time-series and clustering them

I have a dataset which contains minute level sensor measurements. Sample is shown here: To me useful information are these peaks in time series, mostly their peak and duration. My idea is to take out ...
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### Moving Average window

I am working with a multivariate time series problem which I try to predict 1 hour in the future. I am planning to use moving average of the features as separate new features. But I do not know if ...
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### Is there a way to deal with spiking growth rates due to small sample numbers?

I'm looking at plotting county coronavirus case density growth rates (moving 7 day window) and am finding that when cases first appear the new case growth rate is very large due to the fact that there ...
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### How does choosing an even window size actually add a cyclical component to the model?

I am new to Time Series Analysis. Say, we have a time series $(y_{t})_{t}$ that we want to filter with a moving average filter. I have been told that we should choose the window size $L$ of the filter ...
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### Does the method of reruning GARCH models every day (to update parameter values and improve out-of-sample forecasting performance) have a name?

It is my understanding that normally GARCH models make forecasts for say T-K days ahead. Instead of doing that I would like to use the data for days 1, 2, ...,k in my dataset to fit a GARCH model to ...
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### Rolling autocorrelation vs whole series autocorrelation

Suppose we have some financial time series. When we calculate the standard ACF, $\mu$ is considered as the average of all series' values. However, if we have a volatile series, the average can be ...
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### Holt-Winters Multiplicative Alpha Beta Gamma [closed]

I need to create a table with Holt-Winters Alpha, Beta and Gamma (ABG) I have the following code ...
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### How to reflect more global patterns in timeseries?

I have some signal data of a robot recorded in every minute each day. e.g., ...
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### Is moving average(sliding window) a smoothing technique or forecasting technique?

The rolling average method is mostly used to produce a smoothed series by removing noise. For ex- 3 window moving average, in general practice, the output for the fourth period is the 3 window moving ...
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### How do we forecast using 3 point moving average?

X<- c(3,6,8,10,6,5) If I want to forecast using 3point moving average I use ma(X,3) from forecast package So this is going to give a series of smoothed average. If I want to forecast further 2 ...
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### Efficient online (rolling window) estimation of a GARCH model

I have a time series $x_t$ of length $n$. I would like to model it using rolling window approach with window length (width) $w$: window $1$: $x_1,\dots,x_w$, window $2$: $x_2,\dots,x_{w+1}$, $\dots$, ...
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### Out-of-sample Rolling window forecast with ARIMA(0,0,0) with non-zero mean

I am doing a rolling window out-of-sample forecast and have fitted an ARIMA(0,0,1) model to a first difference time series. People argue that sometimes simpler models are better than more complicated ...
1 vote
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### Counting occurrences using n-grams

I was asked to do the following exercise: Consider the sequence IROIRDXMIRDOMORIORMTDMMDMWBIRQGDM Count the number of occurences of IRDM using: n-grams ...
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