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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".

5 votes

In sliding window regression, what is the best way to select my training window and test set...

Maybe I'm not understanding correctly but your test set size is all your data points (minus the initial training set) right? The size 1 is the forecasting horizon, how many data points forward you for …
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