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Tagged with moving-window references
4 questions
3
votes
0
answers
159
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 ...
- 131k
4
votes
0
answers
179
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improve performance of finding rolling window maximum likelihood
There is data indexed by time:
$$
D_1, D_2, D_3, ..., D_T
$$
I have a model that I assume the parameter $\theta_t$ changes with time $t$.
As a result, I adapt a rolling window strategy:
$$
\theta_{...
- 82.8k
0
votes
1
answer
131
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Reference for the use of moving upper quartile window
I used a moving upper quartile window to select some data, but I require some kind of reference justifying its use and I cannot find anything suitable for it. Does anyone know of a book/paper that ...
- 59.4k
3
votes
0
answers
443
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Good book / resource for learning about moving window PCA?
I would like recommendations on textbooks (or online resources) covering MWPCA theoretically and with application examples (preferably in R, but also in Python, Mathematica, Matlab).
A brief intro:
...
- 201