[R] Idioms for a timeseries operation - moving window

From: Bo Zhou <bozhou1981_at_hotmail.com>
Date: Sun, 02 Mar 2008 14:24:51 +0000

Hi Guys,

Need your wisdom on this.

Say I have a time series (in zoo format) like this

> x <- zoo(11:21)
> x
 1 2 3 4 5 6 7 8 9 10 11
11 12 13 14 15 16 17 18 19 20 21

I want to do a "moving window sampling" of it. The result can either be a matrix or a dataframe like this

my.super.moving.window(x, length=3, by=1)

11 12 13
12 13 14
13 14 15
14 15 16
....
18 19 20
19 20 21

This shouldn't be new. Many many people must have done this before. Any idea what's the best(efficient and elegant) way to do this?

Cheers,

Bo



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