Re: [R] Rolling range and regression calculations

From: rcoder <mpdotbook_at_gmail.com>
Date: Fri, 25 Jul 2008 05:37:40 -0700 (PDT)

Hi Achim,

Thanks for your reply. rollmean and rollmax functions exist, but is there anything for returning the minima on a rolling basis? I know there is no rollmin in the zoo library.

Thanks,

rcoder

Achim Zeileis wrote:

> 
> On Thu, 24 Jul 2008, rcoder wrote:
> 

>> 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?
> 
> Look at the package "zoo", specifically the examples on the manual pages 
> of ?rollapply and ?aggregate.zoo. These should be helpful in doing what 
> you want. The package vignettes have further worked examples.
> 
> hth,
> Z
> 

>> Thanks,
>>
>> rcoder
>> --
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>> Sent from the R help mailing list archive at Nabble.com.
>>
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>>
> 
> ______________________________________________
> R-help_at_r-project.org mailing list
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> PLEASE do read the posting guide
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> 
> 

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Received on Fri 25 Jul 2008 - 13:09:54 GMT

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