SlidingWindows {SlidingWindows}

Sliding Windows.

Description

This function generates sliding windows approach of a time series.

Usage

SlidingWindows(y, w = 99)

Arguments

y

A vector containing univariate time series.

w

An integer value indicating the window size w < length(y). If w = length(y), will be computed the function will not slide.

Details

This function return the matrix with time series sliding windows.

Value

A list containing "w", "SlidingWindows".

References

Guedes, E.F. Modelo computacional para análise de movimentos e co-movimentos de mercados financeiros, Ph.D. thesis, Programa de Pós-graduação em Modelagem Computacional e Tecnologia Industrial. Centro Universitário Senai Cimatec, 2019.

Examples

y <- rnorm(100)
SlidingWindows(y,w=99)