apply.rolling: calculate a function over a rolling window

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Creates a results timeseries of a function applied over a rolling window.

Usage

apply.rolling(R, width, trim = TRUE, gap = 12, by = 1, FUN = "mean", ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
width	number of periods to apply rolling function window over
trim	TRUE/FALSE, whether to keep alignment caused by NA's
gap	numeric number of periods from start of series to use to train risk calculation
by	calculate FUN for trailing width points at every by-th time point.
FUN	any function that can be evaluated using a single set of returns (e.g., rolling beta won't work, but Return.annualized will)
...	any other passthru parameters

Details

Wrapper function for rollapply to hide some of the complexity of managing single-column zoo objects.

Value

A timeseries in a zoo object of the calculation results

Author(s)

Peter Carl

See Also

apply
rollapply

Examples

data(managers)
apply.rolling(managers[,1,drop=FALSE], FUN="mean", width=36)

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