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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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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 ...
Thomas Browne's user avatar
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 ...
Ian Sudbery's user avatar
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 ...
Crib's user avatar
  • 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?
user43790's user avatar
  • 175