data_subset: Create information set

In OOS: Out-of-Sample Time Series Forecasting

Description

A function to subset data recursively or with a rolling window to create a valid information set. Is used as a data preparation helper function and is called internally by forecast_univariate, forecast_multivariate, and forecast_combine.

Usage

data_subset(Data, forecast.date, rolling.window, freq)

Arguments

Data	data.frame: data frame of target variable, exogenous variables, and observed date (named 'date')
forecast.date	date: upper bound of information set
rolling.window	int: size of rolling window, NA if expanding window is used
freq	string: time series frequency; day, week, month, quarter, year; only needed for rolling window factors

Value

data.frame bounded by the given date range

OOS documentation built on March 17, 2021, 5:08 p.m.