ts.match

Correlation calculation based on rolling window with overlapping observations.

Forecasting competitions are of increasing importance as a mean to learn best practices and gain knowledge. Data leakage is one of the most common issues that can often be found in competitions. Data leaks can happen when the training data contains information about the test data. For example: randomly chosen blocks of time series are concatenated to form a new time series, scale-shifts, repeating patterns in time series,  white noise is added in the original time series to form a new time series, etc.  'tsdataleaks' package can be used to detect data leakages in a collection of  time series.

Thiyanga S. Talagala

tsdataleaks

Exploit Data Leakages in Time Series Forecasting Competitions

ts.match function

<dl><dt>x</dt>
<dd>time series</dd>
<dt>y</dt>
<dd>subsection of the time series to map</dd>
<dt>cutoff</dt>
<dd>benchmark value for corr, default 1</dd></dl>

Arguments

Correlation calculation based on rolling window with overlapping observations. — ts.match

<dl>

<dt>x</dt>
<dd>time series</dd>


<dt>y</dt>
<dd>subsection of the time series to map</dd>


<dt>cutoff</dt>
<dd>benchmark value for corr, default 1</dd>

</dl>

ts.match: Correlation calculation based on rolling window with overlapping observations.

Description

Usage

Value

Arguments

Examples