Re: [R] apply a function to a rolling subset of a vector

From: Marc Schwartz <MSchwartz_at_medanalytics.com>
Date: Thu 03 Mar 2005 - 09:45:59 EST

On Wed, 2005-03-02 at 17:22 -0500, Whit Armstrong wrote:
> Does anyone know an easy way to calculate the rolling 20 period average
> or sum of a vector?
>
> For instance:
> x <- rnorm(1000)
>
> y <- apply.subset(x,20,fun="sum")
>
> The first element of y would contain the sum of elements 1 to 20, the
> second element of y
> would contain the sum of elements 2:21, and so on.
>
> I thought I had seen this on the list a year or so ago, but I couldn't
> find anything in the archives.

You can use the running() function in the gtools package, which is in the gregmisc bundle:

x <- rnorm(1000)

> running(x, fun = sum, width = 20)

         1:20 2:21 3:22 4:23 5:24  -2.009684610 -2.205737077 -1.410810606 -2.226661837 -1.684604289

         6:25 7:26 8:27 9:28 10:29  -4.492008605 -3.816273719 -5.348364598 -6.444591766 -5.263013812

        11:30 12:31 13:32 14:33 15:34  -4.609829115 -5.935537291 -6.909232329 -4.881021777 -5.803659103 ...

See ?running for more information, after installing gregmisc from CRAN.

HTH, Marc Schwartz



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