Max, thx for the reply, i am amazed at the caret package.. very nice

okay, for time series, i think i can include a dummy variable for each 
time period and try to remove the time effect, less 1 dummy, like one 
does for seasonality.  maybe that will work, if anyone has any 
suggestions on how to use the present caret package with time series, 
please share..







Max Kuhn wrote:
> Zubin,
>
>   
>> Hello, I have some time series applications, where i have a large set of X
>> variables (hundreds) and thousands of time data points (sampling every
>> minute).
>> I like to use the caret package to support the analysis, variable selection
>> and model selection.  However, reading the documentation, it looks like
>> caret uses resampling methods.  Not sure if these methods work with time
>> series, as you need  a block bootstrap or such.
>> My question:  Does the caret package support the usage of time series data?
>>     
>
> I don't know much about resampling with time series. If regular
> resampling methods are not appropriate, you can use the index argument
> of trainControl to specify the indices of the samples that you want in
> the training set. We can always add resampling options that are
> specific to time series.
>
> It also assumes that the predictors are in the form of a data frame or
> matrix, so I'm not sure that passing an object of some other class
> would work right now. I'd be happy to add new methods for train that
> are specific to certain data types.
>
>   

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