roll.win.rmse.wge {tswge}

Function to Calculate the Rolling Window RMSE

Description

This function creates as many "windows" as is possible with the data and calculates an RMSE for each window. The resulting "rolling window RMSE" is the average of the individual RMSEs from each window.

Usage

roll.win.rmse.wge(series, horizon = 2, s = 0, d = 0, phi = 0, theta = 0)

Arguments

series

The data

horizon

The number of observations ahead to be forecasted.

s

Order of the seasonal difference, default=1

d

Order of the difference

phi

Vector of AR coefficients

theta

Vector of MA coefficients

Value

rwRMSE

The average of the individual RMSEs of each window

numwindows

The number of windows

horizon

The number of observations ahead to be forecasted.

s

Order of the seasonal difference, default=1

d

Order of the difference

phis

Vector of AR coefficients

thetas

Vector of MA coefficients

RMSEs

Vector of RMSEs ... one for each windwow

Author(s)

Bivin Sadler

References

"The Time Series Tool Kit"