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

From: Whit Armstrong <whit_at_twinfieldscapital.com>
Date: Thu 03 Mar 2005 - 10:03:54 EST


Thanks, everyone, for all the suggestions.

The rollFun turs out to be just what I needed.

Cheers,
Whit  

-----Original Message-----
From: Kjetil Brinchmann Halvorsen [mailto:kjetil@acelerate.com] Sent: Wednesday, March 02, 2005 5:45 PM
To: Whit Armstrong
Cc: r-help@stat.math.ethz.ch
Subject: Re: [R] apply a function to a rolling subset of a vector

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")
>
>
help.search("rolling")

gives me (among others)

RollingAnalysis(fSeries)

                        Rolling Analysis

so trying

library(fSeries)
x <- rnorm(1000)
y <- rollFun(x, 20, mean)

Kjetil

>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.
>
>
>Thanks in advance,
>Whit
>
> [[alternative HTML version deleted]]
>
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-- 

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra




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Received on Thu Mar 03 10:48:15 2005

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