createRollingTimeIndices: create index of time-stamps for vectorized functions

Description Usage Arguments Value Examples

View source: R/E-createRollingTimeIndices.R

Description

create index of time-stamps for vectorized functions

Usage

1
2
3
createRollingTimeIndices(initialTimeVector, estimationLength = 18,
  timeUnit = "months", investmentHorizonLength = 1,
  windowType = "rolling")

Arguments

initialTimeVector

vector of dates YYYY-MM-DD

estimationLength

a positive integer indicating the size of the estimation period

timeUnit

a character string, one of "weeks", "days","weeks","months","years", indicating the unit size for estimationLength and investmentHorizon

investmentHorizonLength

a positive integer indicating the size of the investment horizon (out of sample period)

Value

a character matrix of xts-subsettable date ranges, one column for the in-sample periods, and another for the out-of-sample periods

Examples

1
FUNCTION STILL UNDER DEVELOPMENT

erolbicero/tsconv documentation built on May 13, 2017, 8:23 p.m.