Optimal Window Length For Forecasting by A. Denis Ridley, Ph.D.
ARTICLE SYNOPSIS ...Optimal Window Length For Forecasting by A. Denis Ridley, Ph.D.
As a rule, the financial markets are complex and difficult to analyze, due to multiple cyclical elements
present in the related data. The moving window spectral (Mws) method of analysis and forecasting
decomposes the data into a spectrum of cyclical components; this is important because each cyclical
component can be evolving over time, in its own unique way. Both the magnitude and phase of each
cycle may change independently. To determine how each component is changing, a window with a fixed
length of time is moved along the dat...