apply.fromstart: calculate a function over an expanding window always starting...

Description Usage Arguments Author(s) See Also Examples

Description

A function to calculate a function over an expanding window from the start of the timeseries. This wrapper allows easy calculation of “from inception” statistics.

Usage

1
apply.fromstart(R, FUN = "mean", gap = 1, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

FUN

any function that can be evaluated using a single set of returns (e.g., rolling beta won't work, but Return.annualized will)

gap

the number of data points from the beginning of the series required to “train” the calculation

...

any other passthru parameters

Author(s)

Peter Carl

See Also

rollapply

Examples

1
2

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.