Description Usage Arguments Details Value Author(s) See Also Examples

Moving (aka running, rolling) Window Minimum and Maximum calculated over a vector

1 2 3 4 5 6 |

`x` |
numeric vector of length n or matrix with n rows. If |

`k` |
width of moving window; must be an integer between one and n |

`endrule` |
character string indicating how the values at the beginning
and the end, of the array, should be treated. Only first and last -
`"min"` &`"max"` - applies the underlying function to smaller and smaller sections of the array. In case of min equivalent to:`for(i in 1:k2) out[i]=min(x[1:(i+k2)])` . Default. -
`"trim"` - trim the ends; output array length is equal to`length(x)-2*k2 (out = out[(k2+1):(n-k2)])` . This option mimics output of`apply` `(embed(x,k),1,FUN)` and other related functions. -
`"keep"` - fill the ends with numbers from`x` vector`(out[1:k2] = x[1:k2])` -
`"constant"` - fill the ends with first and last calculated value in output array`(out[1:k2] = out[k2+1])` -
`"NA"` - fill the ends with NA's`(out[1:k2] = NA)` -
`"func"` - same as`"min"` &`"max"` but implimented in R. This option could be very slow, and is included mostly for testing
Similar to |

`alg` |
an option allowing to choose different algorithms or
implementations. Default is to use of code written in C (option |

`align` |
specifies whether result should be centered (default),
left-aligned or right-aligned. If |

Apart from the end values, the result of y = runFUN(x, k) is the same as
“`for(j=(1+k2):(n-k2)) y[j]=FUN(x[(j-k2):(j+k2)], na.rm = TRUE)`

”, where FUN
stands for min or max functions. Both functions can handle non-finite
numbers like NaN's and Inf's the same way as `min(x, na.rm = TRUE)`

).

The main incentive to write this set of functions was relative slowness of
majority of moving window functions available in R and its packages. With the
exception of `runmed`

, a running window median function, all
functions listed in "see also" section are slower than very inefficient
“`apply(embed(x,k),1,FUN)`

” approach. Relative
speeds `runmin`

and `runmax`

functions is O(n) in best and average
case and O(n*k) in worst case.

Both functions work with infinite numbers (`NA`

,`NaN`

,`Inf`

,
`-Inf`

). Also default `endrule`

is hardwired in C for speed.

Returns a numeric vector or matrix of the same size as `x`

. Only in case of
`endrule="trim"`

the output vectors will be shorter and output matrices
will have fewer rows.

Jarek Tuszynski (SAIC) jaroslaw.w.tuszynski@saic.com

Links related to:

Other moving window functions from this package:

`runmean`

,`runquantile`

,`runmad`

and`runsd`

R functions:

`runmed`

,`min`

,`max`

Similar functions in other packages:

`rollmax`

from zoo librarygeneric running window functions:

`apply`

`(embed(x,k), 1, FUN)`

(fastest),`running`

from gtools package (extremely slow for this purpose),`subsums`

from magic library can perform running window operations on data with any dimensions.

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 | ```
# show plot using runmin, runmax and runmed
k=25; n=200;
x = rnorm(n,sd=30) + abs(seq(n)-n/4)
col = c("black", "red", "green", "blue", "magenta", "cyan")
plot(x, col=col[1], main = "Moving Window Analysis Functions")
lines(runmin(x,k), col=col[2])
lines(runmean(x,k), col=col[3])
lines(runmax(x,k), col=col[4])
legend(0,.9*n, c("data", "runmin", "runmean", "runmax"), col=col, lty=1 )
# basic tests against standard R approach
a = runmin(x,k, endrule="trim") # test only the inner part
b = apply(embed(x,k), 1, min) # Standard R running min
stopifnot(all(a==b));
a = runmax(x,k, endrule="trim") # test only the inner part
b = apply(embed(x,k), 1, max) # Standard R running min
stopifnot(all(a==b));
# test against loop approach
k=25;
data(iris)
x = iris[,1]
n = length(x)
x[seq(1,n,11)] = NaN; # add NANs
k2 = k
k1 = k-k2-1
a1 = runmin(x, k)
a2 = runmax(x, k)
b1 = array(0,n)
b2 = array(0,n)
for(j in 1:n) {
lo = max(1, j-k1)
hi = min(n, j+k2)
b1[j] = min(x[lo:hi], na.rm = TRUE)
b2[j] = max(x[lo:hi], na.rm = TRUE)
}
# this test works fine at the R prompt but fails during package check - need to investigate
## Not run:
stopifnot(all(a1==b1, na.rm=TRUE));
stopifnot(all(a2==b2, na.rm=TRUE));
## End(Not run)
# Test if moving windows forward and backward gives the same results
# Two data sets also corespond to best and worst-case scenatio data-sets
k=51; n=200;
a = runmin(n:1, k)
b = runmin(1:n, k)
stopifnot(all(a[n:1]==b, na.rm=TRUE));
a = runmax(n:1, k)
b = runmax(1:n, k)
stopifnot(all(a[n:1]==b, na.rm=TRUE));
# test vector vs. matrix inputs, especially for the edge handling
nRow=200; k=25; nCol=10
x = rnorm(nRow,sd=30) + abs(seq(nRow)-n/4)
x[seq(1,nRow,10)] = NaN; # add NANs
X = matrix(rep(x, nCol ), nRow, nCol) # replicate x in columns of X
a = runmax(x, k)
b = runmax(X, k)
stopifnot(all(a==b[,1], na.rm=TRUE)); # vector vs. 2D array
stopifnot(all(b[,1]==b[,nCol], na.rm=TRUE)); # compare rows within 2D array
a = runmin(x, k)
b = runmin(X, k)
stopifnot(all(a==b[,1], na.rm=TRUE)); # vector vs. 2D array
stopifnot(all(b[,1]==b[,nCol], na.rm=TRUE)); # compare rows within 2D array
# Compare C and R algorithms to each other for extreme window sizes
numeric.test = function (x, k) {
a = runmin( x, k, alg="C")
b = runmin( x, k, alg="R")
c =-runmax(-x, k, alg="C")
d =-runmax(-x, k, alg="R")
stopifnot(all(a==b, na.rm=TRUE));
#stopifnot(all(c==d, na.rm=TRUE));
#stopifnot(all(a==c, na.rm=TRUE));
stopifnot(all(b==d, na.rm=TRUE));
}
n=200; # n is an even number
x = rnorm(n,sd=30) + abs(seq(n)-n/4) # random data
for(i in 1:5) numeric.test(x, i) # test for small window size
for(i in 1:5) numeric.test(x, n-i+1) # test for large window size
n=201; # n is an odd number
x = rnorm(n,sd=30) + abs(seq(n)-n/4) # random data
for(i in 1:5) numeric.test(x, i) # test for small window size
for(i in 1:5) numeric.test(x, n-i+1) # test for large window size
n=200; # n is an even number
x = rnorm(n,sd=30) + abs(seq(n)-n/4) # random data
x[seq(1,200,10)] = NaN; # with some NaNs
for(i in 1:5) numeric.test(x, i) # test for small window size
for(i in 1:5) numeric.test(x, n-i+1) # test for large window size
n=201; # n is an odd number
x = rnorm(n,sd=30) + abs(seq(n)-n/4) # random data
x[seq(1,200,2)] = NaN; # with some NaNs
for(i in 1:5) numeric.test(x, i) # test for small window size
for(i in 1:5) numeric.test(x, n-i+1) # test for large window size
# speed comparison
## Not run:
n = 1e7; k=991;
x1 = runif(n); # random data - average case scenario
x2 = 1:n; # best-case scenario data for runmax
x3 = n:1; # worst-case scenario data for runmax
system.time( runmax( x1,k,alg="C")) # C alg on average data O(n)
system.time( runmax( x2,k,alg="C")) # C alg on best-case data O(n)
system.time( runmax( x3,k,alg="C")) # C alg on worst-case data O(n*k)
system.time(-runmin(-x1,k,alg="C")) # use runmin to do runmax work
system.time( runmax( x1,k,alg="R")) # R version of the function
x=runif(1e5); k=1e2; # reduce vector and window sizes
system.time(runmax(x,k,alg="R")) # R version of the function
system.time(apply(embed(x,k), 1, max)) # standard R approach
## End(Not run)
``` |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.