Predictive Case Studies: Training by Rolling

Tsung-wu Ho
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Tsung-wu Ho: National Taiwan Normal University

Chapter Chapter 5 in Time Series Forecasting using Machine Learning, 2025, pp 103-128 from Springer

Abstract: Abstract In this chapter, we offer two case studies that are based upon rolling windows: US unemployment rate and Dow Jones Index returns. The former case is a very common macroeconomic variable, containing stochastic trend and seasonality; the latter is characterized by volatility. Rolling windows stack window-specific forecasts, allowing us to evaluate the forecasting performance of different models.

Date: 2025
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DOI: 10.1007/978-3-031-97946-0_5

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