Dear all R users,
I want to apply the entropy methods in rolling window analysis. I tried
with the rollapply function, but it is not working. For your convenience, I
am providing my code so that you can easily suggest me the application of
rolling window in the particular methodology. Here is my code
N<-nrow(ts)
r<-matrix(0, nrow = N, ncol = 1)
for (i in 1:N){
r[i]<-approx_entropy(ts[,i], edim = 2, r = 0.2*sd(ts[,i]), elag = 1)
}
Kindly suggest me how to apply rolling window size of 500 in the particular
time series model?
I expect positive help from you.
Thanks in advance.
--
*Best Regards,*
*Subhamitra Patra*
*Phd. Research Scholar*
*Department of Humanities and Social Sciences*
*Indian Institute of Technology, Kharagpur*
*INDIA*
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