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New Zealand are second in the International Cricket Council test rankings and third in one-day internationals, but struggle at sixth in Twenty20.
The team lost their last two series at home and have won just seven of their last 20 matches in the shortest form of the game.
McCullum, however, blamed the inconsistent results on the team's efforts to succeed in the longer formats, using Twenty20 as a chance to develop new players or give veterans a rest.
"T20 hasn't been the best format for the New Zealand team of late and I know there is a deep desire to improve those results," McCullum said ahead of Friday's first game.
"I think with the T20 World Cup not being far away, now is the time to really start to drill down what your best 11 will be and then you start to build a squad that will be competitive at the next World Cup.
"That's why these games are so vital."
While Kieron Pollard's side are ranked ninth in Twenty20 cricket, they are the only side to have won the World Cup twice and are the defending champions for next year's tournament in India.
McCullum has an intimate knowledge of the West Indian talent, having guided the Trinbago Knight Riders to the Caribbean Premier League (CPL) title this year.
"The West Indies are remarkable T20 cricketers," said McCullum, who will also commentate on the series for new host broadcasters Spark Sport.
"They have got immense flair right through their batting and bowling. They're well led by Kieron Pollard and got a great mix of experience and youth.
"I think they will be a very tough proposition."