Description Usage Arguments Details Value Examples
Calculate the rolling sum of a numeric vector, matrix, or xts time series over a sliding window (lookback period).
1 | roll_sum(x_ts, look_back)
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A vector, matrix, or 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_sum() are equal to cumsum() values, so
that roll_sum() doesn't return any NA
values.
The function roll_sum()
performs the same operation as function
runSum()
from package
TTR, but
using vectorized functions, so it's a little faster.
A vector, matrix, or xts time series with the same dimensions as the input series.
1 2 3 4 5 6 7 8 9 | # Rolling sum of vector
vec_tor <- rnorm(1000)
rutils::roll_sum(vec_tor, look_back=3)
# Rolling sum of matrix
mat_rix <- matrix(rnorm(1000), nc=5)
rutils::roll_sum(mat_rix, look_back=3)
# Rolling sum of xts time series
x_ts <- xts(x=rnorm(1000), order.by=(Sys.time()-3600*(1:1000)))
rutils::roll_sum(x_ts, look_back=3)
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