rolling_univariate_forecasts: Auto Arima and Nnetar Forecasts

In MislavSag/mlfinance: Machine learning in finance

Description

Function calculates forecastas based on auto.arima and nnetar functions from forecast package.

Usage

rolling_univariate_forecasts(
  prices_panel,
  row_index = 1:nrow(prices_panel),
  windows = c(200),
  workers = 4L,
  forecast_type = c("autoarima", "nnetar")
)

Arguments

prices_panel	a data.table object with coluimns: symbol, datetime, open, hogh, low, close, volume
row_index	row index for which to calculate radf values.
windows	Length of window for calculating forecasts on rolling window.
workers	Number of workers for parallel processing
forecast_type	type of time series forecasts.

Value

Data.table with new features

MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.