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".
4 questions
22
votes
3
answers
8k
views
I'm getting "jumpy" loadings in rollapply PCA in R. Can I fix it?
I have 10 years of daily returns data for 28 different currencies. I wish to extract the first principal component, but rather than operate PCA on the whole 10 years, I want to rollapply a 2 year ...
- 641
3
votes
0
answers
382
views
Correcting for multiple testing on non-independent sliding windows
Question
Values taken from adjecent windows in a sliding windows are corrolated. If I calculate a p-value from each window, how can I correct for the fact I have tested many windows, given that the ...
- 311
2
votes
1
answer
435
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 ...
- 33
0
votes
1
answer
946
views
Forecast evaluation for rolling forecast [closed]
I have rolling forecast for each month. I would like to do some forecast evaluation. How do I do this?
- 175