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Results tagged with moving-window
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user 36041
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".
2
votes
Accepted
Impact of window size on estimated volatility using SMA or EWMA
If volatility was constant, then the impact would have been negligible. Unfortunately (?) volatility is time varying. If by SMA you mean simple moving average then the impact is that once the window m …
- 62.3k
2
votes
Root-mean-square error when having multiple prediction horizons
Averaging errors over different forecast horizons makes no sense in my opinion.
Suppose, you produced a set of dynamic forecasts $\hat y(t+h|I_t)$ where $t$ is the last actual observation used for a f …
- 62.3k
0
votes
Selecting ARIMA Order using Rolling Forecast
You can do this, but be aware that it's not that much different from inferring the lags from in-sample fit procedures such as ACF/PACF analysis. Why? Because you're using the forecast (supposedly out …
- 62.3k
1
vote
Accepted
ARIMA accuracy measures, rolling forecast
If I understood your main question it is about why not use cross-validation performance metrics for model selection? The short answer is that by doing so you would erase the distinction between CV and …
- 62.3k