[R] "moving average" method for time series objects

Martin Maechler maechler at stat.math.ethz.ch
Fri Sep 24 23:53:08 CEST 2004

>>>>> "Kjetil" == Kjetil Brinchmann Halvorsen <kjetil at acelerate.com>
>>>>>     on Fri, 24 Sep 2004 08:34:19 -0400 writes:

    Kjetil> Schwarz,Paul wrote:
    >> Dear R-Help readers,
    >> I suspect that this question must be a FAQ, but my
    >> investigation of the archives has not been very
    >> revealing.  Is there an R function for calculating moving
    >> averages of time series objects?
    Kjetil>  library(gregmisc) ?running test <- ts(rnorm(100))

    Kjetil>  test2 <- running(test, fun=median, width=10)
    Kjetil> length(test2) [1] 91

    Kjetil> you want fun=mean

Note that really for 
  - running mean, you should use  filter()
  - running median, you use       runmed()

Greg's running() function is probably appropriate for anything
else *but* these two cases...

Martin Maechler

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