Description Usage Arguments Details Value Examples
Calculate the rolling maximum of an xts time series over a sliding window (lookback period).
1 | roll_max(x_ts, look_back)
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An xts time series containing one or more columns of data. |
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The size of the lookback window, equal to the number of data points for calculating the rolling sum. |
For example, if look_back=3, then the rolling sum at any point is
equal to the sum of x_ts
values for that point plus two preceding
points.
The initial values of roll_max() are equal to cumsum() values, so that
roll_max() doesn't return any NA
values.
The function roll_max()
performs the same operation as function
runMax()
from package
TTR, but
using vectorized functions, so it's a little faster.
An xts time series with the same dimensions as the input series.
1 2 3 |
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