rolling_median_by_h: Compute a rolling median of x, after first aggregating by h

In chris-prener/falseProphet: Automatic Forecasting Procedure

Compute a rolling median of x, after first aggregating by h

Description

Right-aligned. Computes a single median for each unique value of h. Each median is over at least w samples.

Usage

rolling_median_by_h(x, h, w, name)

Arguments

x	Array.
h	Array of horizon for each value in x.
w	Integer window size (number of elements).
name	String name for metric in result dataframe.

Details

For each h where there are fewer than w samples, we take samples from the previous h,

Value

Dataframe with columns horizon and name, the rolling median of x.

chris-prener/falseProphet documentation built on April 15, 2022, 12:04 a.m.