[R] windowing strategies

Gabor Grothendieck ggrothendieck at myway.com
Fri Sep 3 19:11:42 CEST 2004


 <jmoreira <at> fe.up.pt> writes:

: Does anyone has implemented a function for evaluating models using windowing 
: strategies, such as growing window or sliding window ones?
: The aim is to evaluate regression models on a time series data. I do not use 
: cross-validation once data sorted in a radom way does not make sense when 
: evaluating time series.
: 

This has been discussed a number of times before.  See, for example, 
the entire thread that starts with:

   http://tolstoy.newcastle.edu.au/R/help/04/04/1253.html

and from r-sig-finance see:

   https://stat.ethz.ch/pipermail/r-sig-finance/2004q3/000104.html

which mentions a number of existing functions.




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