caret package: Is it possible to implement my own bootstrapping method?
I am using caret package for R to select variables for my model. When using rfe command, one should pass rfeControl object, which has a method parameter. Options for this parameter are boot, cv, LOOCV and LGOCV. Since I am dealing with time series data I need to use special bootstrapping/cross-validation techniques as normal ones do not apply for time series data (otherwise distributions get corrupted etc.).
My question is how would I plug-in my own implementation of bootstrapping but still use caret rfe method, which has every other thing I need.