Re: [R] Rolling range and regression calculations

From: rcoder <mpdotbook_at_gmail.com>
Date: Fri, 25 Jul 2008 10:10:33 -0700 (PDT)

You mean embedding something like a range() function in a rollapply function? I'm just not sure how it will handle outputting max and min values in sequence and in the correct columns.

On a parallel topic, I would like to find some way of generating a matrix containing rows that are the product of sequential rows in a preceeding matrix: i.e. rows 1*2 -> row 1 in o/p matrix; rows2*3-> row 2; rows 4*5->row3 etc.

Thanks,

rcoder

stephen sefick wrote:
>
> 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.
>> >>
>> >> ______________________________________________
>> >> R-help_at_r-project.org mailing list
>> >> https://stat.ethz.ch/mailman/listinfo/r-help
>> >> PLEASE do read the posting guide
>> >> http://www.R-project.org/posting-guide.html
>> >> and provide commented, minimal, self-contained, reproducible code.
>> >>
>> >>
>> >
>> > ______________________________________________
>> > R-help_at_r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-help
>> > PLEASE do read the posting guide
>> > http://www.R-project.org/posting-guide.html
>> > and provide commented, minimal, self-contained, reproducible code.
>> >
>> >
>>
>> --
>> 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.
>>
>> ______________________________________________
>> R-help_at_r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide
>> http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>

>
>
>
> --
> Let's not spend our time and resources thinking about things that are so
> little or so large that all they really do for us is puff us up and make
> us
> feel like gods. We are mammals, and have not exhausted the annoying little
> problems of being mammals.
>
> -K. Mullis
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help_at_r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
>
-- 
View this message in context: http://www.nabble.com/Rolling-range-and-regression-calculations-tp18643465p18655895.html
Sent from the R help mailing list archive at Nabble.com.

______________________________________________
R-help_at_r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Received on Fri 25 Jul 2008 - 19:06:02 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Fri 25 Jul 2008 - 19:32:30 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive