Re: [R] Rolling range and regression calculations

From: stephen sefick <ssefick_at_gmail.com>
Date: Fri, 25 Jul 2008 09:18:40 -0400

how about rollapply in the zoo package?

On Fri, Jul 25, 2008 at 8:37 AM, rcoder <mpdotbook_at_gmail.com> wrote:

>
> 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
> >> --
> >> View this message in context:
> >>
> http://www.nabble.com/Rolling-range-and-regression-calculations-tp18643465p18643465.html
> >> Sent from the R help mailing list archive at Nabble.com.
> >>
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> >>
> >>
> >
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> >
> >
>
> --
> View this message in context:
> http://www.nabble.com/Rolling-range-and-regression-calculations-tp18643465p18650915.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
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Received on Fri 25 Jul 2008 - 13:24:31 GMT

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