Analysis of Running/Rolling/Moving Windows

Description

Various functions to analyze data over a moving window of periods.

Usage

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runSum(x, n = 10, cumulative = FALSE)

runMin(x, n = 10, cumulative = FALSE)

runMax(x, n = 10, cumulative = FALSE)

runMean(x, n = 10, cumulative = FALSE)

runMedian(x, n = 10, non.unique = "mean", cumulative = FALSE)

runCov(x, y, n = 10, use = "all.obs", sample = TRUE, cumulative = FALSE)

runCor(x, y, n = 10, use = "all.obs", sample = TRUE, cumulative = FALSE)

runVar(x, y = NULL, n = 10, sample = TRUE, cumulative = FALSE)

runSD(x, n = 10, sample = TRUE, cumulative = FALSE)

runMAD(x, n = 10, center = NULL, stat = "median", constant = 1.4826,
  non.unique = "mean", cumulative = FALSE)

wilderSum(x, n = 10)

Arguments

x

Object coercible to xts or matrix.

n

Number of periods to use in the window or, if cumulative=TRUE, the number of obversations to use before the first result is returned.

cumulative

Logical, use from-inception calculation?

non.unique

One of 'mean', 'max', or 'min'; which compute their respective statistics for the two middle values of even-sized samples.

y

Object coercible to xts or matrix.

use

Only "all.obs" currently implemented.

sample

Logical, sample covariance if TRUE (denominator of n-1)

center

The values to use as the measure of central tendency, around which to calculate deviations. The default (NULL) uses the median.

stat

Statistic to calculate, one of 'median' or 'mean' (e.g. median absolute deviation or mean absolute deviation, respectively.)

constant

Scale factor applied to approximate the standard deviation.

Value

A object of the same class as x and y or a vector (if try.xts fails).

runSum

returns sums over a n-period moving window.

runMin

returns minimums over a n-period moving window.

runMax

returns maximums over a n-period moving window.

runMean

returns means over a n-period moving window.

runMedian

returns medians over a n-period moving window.

runCov

returns covariances over a n-period moving window.

runCor

returns correlations over a n-period moving window.

runVar

returns variances over a n-period moving window.

runSD

returns standard deviations over a n-period moving window.

runMAD

returns median/mean absolute deviations over a n-period moving window.

wilderSum

retuns a Welles Wilder style weighted sum over a n-period moving window.

Author(s)

Joshua Ulrich

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