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".
108 questions
0
votes
0
answers
70
views
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 ...
- 11
0
votes
0
answers
28
views
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 ...
- 557
0
votes
0
answers
31
views
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 ...
- 1,334
0
votes
1
answer
161
views
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 ...
0
votes
0
answers
34
views
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 ...
- 101
0
votes
0
answers
37
views
How to reflect more global patterns in timeseries?
I have some signal data of a robot recorded in every minute each day.
e.g.,
...
- 602
0
votes
0
answers
433
views
Rolling window AR(2)-GARCH(1,1) VaR intuition query
I have an AR(2)-GARCH(1,1) model and I need to use a 1-day rolling window 1 -step ahead forecasts to calculate the 5% conditional VaR.
I know how to calculate the VaR for 1-step ahead only - I ...
user176094
0
votes
0
answers
26
views
Online moving median [duplicate]
So I can use "EWMA" (1) to update an estimate of the mean as each new measurement is received.
If I know the window size of the smooth($\eta$), the previous estimate($ \bar{x}_t$), and the new ...
- 9,843