Let \(x_i=\left\{x_1,\ x_2,...,x_n\right\}\) be a time series of length \(N\). The rolling window size - that is the number of consecutive observations per rolling window - is \(m\). With \(0<m\le m_{\max}\) and \(0<m_{\max}\le N\), there are \(t=N-m+1\) consecutive rolling windows.