createRollingTimeIndices: create index of time-stamps for vectorized functions

In erolbicero/tsconv: Time Series Convenience

Description

create index of time-stamps for vectorized functions

Usage

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

FUNCTION STILL UNDER DEVELOPMENT

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