roll.win.rmse.wge: Function to Calculate the Rolling Window RMSE

In tswge: Time Series for Data Science

Function to Calculate the Rolling Window RMSE

Description

This function creates as many "windows" as is possible with the data and calculates an RMSE for each window. The resulting "rolling window RMSE" is the average of the individual RMSEs from each window.

Usage

roll.win.rmse.wge(series, horizon = 2, s = 0, d = 0, phi = 0, theta = 0)

Arguments

series	The data
horizon	The number of observations ahead to be forecasted.
s	Order of the seasonal difference, default=1
d	Order of the difference
phi	Vector of AR coefficients
theta	Vector of MA coefficients

Value

rwRMSE	The average of the individual RMSEs of each window
numwindows	The number of windows
horizon	The number of observations ahead to be forecasted.
s	Order of the seasonal difference, default=1
d	Order of the difference
phis	Vector of AR coefficients
thetas	Vector of MA coefficients
RMSEs	Vector of RMSEs ... one for each windwow

Author(s)

Bivin Sadler

References

"The Time Series Tool Kit"

tswge documentation built on Feb. 16, 2023, 6:51 p.m.