R/rollmean.R

In zoo: S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered Observations)

# rollmean, rollmax, rollmedian (, rollmad) based on code posted by Jarek Tuszynski at
# https://www.stat.math.ethz.ch/pipermail/r-help/2004-October/057363.html
# ToDo: rollmad, currently rollapply() can be used

rollmeanr <- function(..., align = "right") {
	rollmean(..., align = align)
}

rollmean <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...) {
	UseMethod("rollmean")
}

rollmean.zoo <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...) {

  if (length(x) < 1L) return(x)

  if (!missing(na.pad)) warning("na.pad is deprecated. Use fill.")

  align <- match.arg(align)

  n <- length(index(x))
  k <- trunc(k)
  if(k > n || anyNA(coredata(x))) return(rollapply(x, k, FUN = (mean), fill = fill, align = align, ...))

  if (length(dim(x)) == 2) {
	  # merge is the only zoo specific part of this method
	  
	  out <- do.call("merge", c(lapply(1:NCOL(x), function(i) {
		rollmean(x[, i, drop = TRUE], k, fill = fill, align = align, ...)
	  }), all = FALSE))
	  if (ncol(x) == 1) dim(out) <- c(length(out), 1)
	  colnames(out) <- colnames(x)
	  return(out)
  }

  ix <- switch(align,
      "left" = { 1:(n-k+1) },
      "center" = { floor((1+k)/2):ceiling(n-k/2) },
      "right" = { k:n })

  xu <- unclass(x)
  y <- xu[k:n] - xu[c(1, seq_len(n-k))] # difference from previous
  y[1] <- sum(xu[1:k])		 # find the first
  # sum precomputed differences
  rval <- cumsum(y)/k

  x[ix] <- rval
  na.fill(x, fill = fill, ix)

}

rollmean.default <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{		
		if (length(x) < 1L) return(x)

		coredata(rollmean(zoo(x), k, fill = fill, align = align, ...))
}

rollmean.ts <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
		if (length(x) < 1L) return(x)
		as.ts(rollmean(as.zoo(x), k, fill = fill, align = align, ...))
}

rollsumr <- function(..., align = "right") {
	rollsum(..., align = align)
}

rollsum <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...) {
	UseMethod("rollsum")
}

rollsum.zoo <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
  if (length(x) < 1L) return(x)

  if (!missing(na.pad)) warning("na.pad is deprecated. Use fill.")

  align <- match.arg(align)

  n <- length(index(x))
  k <- trunc(k)
  if(k > n || anyNA(coredata(x))) return(rollapply(x, k, FUN = (sum), fill = fill, align = align, ...))

  if (length(dim(x)) == 2) {
	  # merge is the only zoo specific part of this method
	  
	  out <- do.call("merge", c(lapply(1:NCOL(x), function(i) {
		rollsum(x[, i, drop = TRUE], k, fill = fill, align = align, ...)
	  }), all = FALSE))
	  if (ncol(x) == 1) dim(out) <- c(length(out), 1)
	  colnames(out) <- colnames(x)
	  return(out)
  }

  ix <- switch(align,
      "left" = { 1:(n-k+1) },
      "center" = { floor((1+k)/2):ceiling(n-k/2) },
      "right" = { k:n })

  xu <- unclass(x)
  y <- xu[k:n] - xu[c(1, seq_len(n-k))] # difference from previous
  y[1] <- sum(xu[1:k])		 # find the first
  # sum precomputed differences
  rval <- cumsum(y)

  x[ix] <- rval
  na.fill(x, fill = fill, ix)

}

rollsum.default <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
		if (length(x) < 1L) return(x)
		
		coredata(rollsum(zoo(x), k, fill = fill, align = align, ...))
}

rollsum.ts <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
		if (length(x) < 1L) return(x)
		as.ts(rollsum(as.zoo(x), k, fill = fill, align = align, ...))
}

rollmaxr <- function(..., align = "right") {
	rollmax(..., align = align)
}

rollmax <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...) {
	UseMethod("rollmax")
}

rollmax.zoo <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
  if (length(x) < 1L) return(x)

  if (!missing(na.pad)) warning("na.pad is deprecated. Use fill.")

  align <- match.arg(align)

  if (length(dim(x)) == 2) {
	  # merge is the only zoo specific part of this method
	  out <- do.call("merge", c(lapply(1:NCOL(x), function(i) {
		rollmax(x[, i, drop = TRUE], k, fill = fill, align = align, ...)
	  }), all = FALSE))
	  if (ncol(x) == 1) dim(out) <- c(length(out), 1)
	  colnames(out) <- if (ncol(x) == ncol(out)) colnames(x)
	  return(out)
  }

  n <- length(x)
  k <- trunc(k)
  if(k > n) return(rollapply(x, k, FUN = (max), fill = fill, align = align, ...))

  ix <- switch(align,
      "left" = { 1:(n-k+1) },
      "center" = { floor((1+k)/2):ceiling(n-k/2) },
      "right" = { k:n })

  n <- length(x) 
  rval <- rep(0, n) 
  a <- 0
  xc <- coredata(x)
  if(k == 1) {
    rval <- xc
  } else {
    for (i in k:n) {
      rval[i] <- if (is.na(a) || is.na(rval[i-1]) || a==rval[i-1]) 
        max(xc[(i-k+1):i]) # calculate max of window
      else 
        max(rval[i-1], xc[i]); # max of window = rval[i-1] 
      a <- xc[i-k+1] # point that will be removed from window
    }
    rval <- rval[-seq(k-1)]
  }

  x[ix] <- rval
  na.fill(x, fill = fill, ix)

}

rollmax.default <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
		if (length(x) < 1L) return(x)
		
		coredata(rollmax(zoo(x), k, fill = fill, align = align, ...))
}

rollmax.ts <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
		if (length(x) < 1L) return(x)
		
		as.ts(rollmax(as.zoo(x), k, fill = fill, align = align, ...))
}


rollmedianr <- function(..., align = "right") {
	rollmedian (..., align = align)
}

rollmedian <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...) {
	UseMethod("rollmedian")
}

rollmedian.zoo <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
  if (length(x) < 1L) return(x)

  if (!missing(na.pad)) warning("na.pad is deprecated. Use fill.")

  align <- match.arg(align)

  n <- length(index(x))
  k <- trunc(k)
  if(k > n || anyNA(coredata(x))) return(rollapply(x, k, FUN = (median), fill = fill, align = align, ...))

  if (length(dim(x)) == 2) {
	  # merge is the only zoo specific part of this method
	  out <- do.call("merge", c(lapply(1:NCOL(x), function(i) {
		rollmedian(x[, i, drop = TRUE], k, fill = fill, align = align, ...)
	  }), all = FALSE))
	  if (ncol(x) == 1) dim(out) <- c(length(out), 1)
	  colnames(out) <- colnames(x)
	  return(out)
  }

  ix <- switch(align,
      "left" = { 1:(n-k+1) },
      "center" = { floor((1+k)/2):ceiling(n-k/2) },
      "right" = { k:n })

  m <- k %/% 2
  rval <- runmed(x, k, ...)
  attr(rval, "k") <- NULL
  if(m >= 1) rval <- rval[-c(1:m, (n-m+1):n)]

  x[ix] <- rval
  na.fill(x, fill = fill, ix)

}

rollmedian.default <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
		if (length(x) < 1L) return(x)
		
		coredata(rollmedian(zoo(x), k, fill = fill, align = align, ...))
}

rollmedian.ts <- function(x, k, fill = if (na.pad) NA, na.pad = FALSE, 
	align = c("center", "left", "right"), ...)
{
		if (length(x) < 1L) return(x)
		
		as.ts(rollmedian(as.zoo(x), k, fill = fill, align = align, ...))
}