tsPartition: Generate training and test indices for time series cross validation
Description
Training and test indices are generated for time series cross validation.
Generated indices are based on the training windowSize, forecast horizons
and whether a rolling or non-rolling cross validation procedure is desired.
Usage
tsPartition(x, rolling, windowSize, maxHorizon)
Arguments
x
A time series
rolling
Should indices be generated for a rolling or non-rolling procedure?
windowSize
Size of window for training
maxHorizon
Maximum forecast horizon
Value
List containing train and test indices for each fold