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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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 ...
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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 ...
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Averaging Mean & Standard Deviation of Rolling Time Frame
I have a data set of investment returns from Jan 2010 to Dec 2022.
I've also calculated the average return and standard deviation of this data set within a rolling time frame of 3 years, with 1 month ...
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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 ...
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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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Kernel Smoothing for Time Series data
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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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 $\mathbb{E}[X_t] = \text{const}, \forall t$? ...
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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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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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How to determine periodicity (autocorrelation) in the 2d projection of a 3D helical trajectory
Some microscopic objects are helically moving in 3d and we acquisite their moving trajectories as a set of 2d points. The obtained trajectories are shown on the image.
For each of these trajectories ...
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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 ...
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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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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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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 ...
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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 ...
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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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Computation of multiple linear OLS regression with rolling window and/or update
How can I efficiently calculate an OLS fit for N multiple variables for a rolling window?
I've worked out how to do it for 1 and 2 variable linear fits, I'd like to extend to the general case of N ...
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What is the relationship between average of a rolling intercept and the intercept from a regression over the entire period?
If i calculate rolling (e.g. 3 periods back) intercepts for a time series using OLS, is the average of these rolling intercepts then in some way related to the intercept from an OLS of the entire ...
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Ranking with multiple weights/ features
We have entities where every entity has start ($s_i$) and end ($e_i$) times and count $c_i$.
An entity is important if its interval ($e_i - s_i$) is large and if its $c_i$ is large.
Here's what I ...
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ARIMA + Rolling Window
I'm currently working on building an ARIMA+GARCH model using R. My dataset consists of the logarithmic returns of the Dow Jones index for a period of 11 years 2005-2016, however, it's worth noting ...
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How does the sliding window work?
I am not sure how the "Sliding window" method work.
Let's assume I have a dataset of number of logins by hour.
a) A window of 24hours to predict the next 24h?
b) A window of 24h to predict the next ...
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