Re: [R] Idioms for a timeseries operation - moving window

From: Bo Zhou <bozhou1981_at_hotmail.com>
Date: Sun, 02 Mar 2008 14:47:37 +0000

Ah! Gabor is the man.

BTW I don't have zoo-faq. (I actually googled it out)

This is what I have:

Vignettes in package ‘zoo’:

zoo-quickref                        zoo Quick Reference (source, pdf)

zoo                                 zoo: An S3 Class and Methods for Indexed Totally Ordered Observations

                                    (source, pdf)



It's a typical windows xp install of R 2.6.1.

Any idea why?

Cheers,

Bo

> Date: Sun, 2 Mar 2008 09:40:09 -0500
> From: ggrothendieck@gmail.com
> To: bozhou1981_at_hotmail.com
> Subject: Re: [R] Idioms for a timeseries operation - moving window
> CC: r-help_at_r-project.org
>
> See
>
> ?embed
>
> and from zoo see:
> ?rollapply
> ?rollmean
> ?rollmax
>
> There is a function coded in C in the caTools package for speed.
>
>
> On Sun, Mar 2, 2008 at 9:24 AM, Bo Zhou <bozhou1981_at_hotmail.com> wrote:
> >
> > 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
> >
> >
> >
> >
> > _________________________________________________________________
> > Climb to the top of the charts! Play the word scramble challenge with star power.
> >
> > [[alternative HTML version deleted]]

> >
> >
> > ______________________________________________
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> > and provide commented, minimal, self-contained, reproducible code.
> >
> >


08

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