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• 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...

AUTHOR: A. Denis Ridley, Ph.D.DATE: MAR 1994