rollingrelated
Rollingrelated is a term used in data analysis to describe the evolving relationship between two time series as observed through rolling window transformations. It refers to how the strength and nature of association between variables change over time when computed on successive, overlapping time segments.
Rollingrelated encompasses a family of statistics computed on moving windows. The most common example is rolling
Choose a window length w and a step size s. For each window position, compute a dependence
Rollingrelated highlights how relationships change over time, potentially signaling regime shifts, structural breaks, or evolving causal
The approach is sensitive to window size and overlap, can suffer from edge effects, and may produce
Rolling statistics, dynamic correlation, rolling regression, time-varying parameter models.