[R] Rolling range and regression calculations

From: rcoder <mpdotbook_at_gmail.com>
Date: Thu, 24 Jul 2008 18:07:58 -0700 (PDT)

Hi everyone,

I want to calculate a min and max (i.e. range) on a rolling time frame of 50 periods for a matrix with the number of periods extending along the row direction. So for 300 periods, there will be 6 time frame windows per column, and 6 min max pairs. I then want to o/p these pairs to a separate matrix.

On a separate matter, I have a matrix containing data on which perform a regresssion over a rolling time period. Is there a convenient way I can do this for each column, and then save the gradient to an o/p matrix?

Thanks,

rcoder

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