[Rd] Fwd: smart updates and rolling windows

From: Bradford Cross <bradford.n.cross_at_gmail.com>
Date: Sat, 29 Sep 2007 19:11:50 -0700

Greetings R'ers!

I have been looking for mathematics libraries for event stream processing / time series simulation. Mathematics libraries for event stream processing require two key features; 1) "smart updates" (functions use optimal update algorithms, f.ex. once mean is calculated for an event stream, the subsequent calls to the function are computed using previous values of mean rather than by brute force re-calculation), 2) "rolling calculations" (functions take a lag parameter for sample size, f.ex. mean of last 100 events.)

I found a couple simple summary statistics implemented like this in the zoo package. I have also found implementations for smart updates in some other languages (apache commons math, and BOOST accumulators) but these only supports accumulated calculations, not rolling calculations.

I have built libraries for this before, and I am currently working on a new version - but before I reinvent the wheel I am trying to find some folks in the community with similar interests to collaborate with.

My personal use for this is financial time series analysis, so I am interested in implementing these high-performance algorithms for classical statistics, robust statistics, regression models, etc.



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