Purpose

The caret package includes a function for data splitting, createTimeSlices(), that creates data partitions using a fixed or growing window. The main arguments to this function, initialWindow and horizon, allow the user to create training/validation resamples consisting of contiguous observations with the validation set always consisting of n = horizon rows. If fixedWindow = TRUE, the training set always has n =initialWindow rows.

Understanding data.table Rolling Joins

Robert Norberg

June 5, 2016

Introduction

Rolling joins in data.table are incredibly useful, but not that well documented. I wrote this to help myself figure out how to use them and perhaps it can help you too.

library(data.table)

The Setup

Imagine we have an eCommerce website that uses a third party (like PayPal) to handle payments.
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