[R] Moving average

[Achim Zeileis]

On Thu, 16 Jun 2005 08:04:18 -0400 (EDT) Bernard L. Dillard wrote:

> Good morning all!
> 
> I am attempting to superimpose a moving-average smoother onto a graph
> of daily plots.  These plots (in table[,2] below) span about 350 days
> and looks very noisy.  I'd like for this smoother to plot the average
> of each group of 7 consecutive days (weekly) and show a line which
> joins these series of averages.  Given the definition of MA, the first
> and last points will generally overlap in the average calculation.
> 
> It's probably a one-liner, but I still am having some problems with
> the syntax.  The only part I have correct is the "lines" statement to
> ensure it overlays my original graph.
> 
> Here's the code I have thus far:
> 
> y <- table[,2]
> plot(y,type="l",lty=3)
> lines( ......)  {moving average code here to be placed here}

With the zoo package you can do the following:

library(zoo)
## create data
x <- rnorm(365)
## transform to regular zoo series with "Date" index
x <- zooreg(x, start = as.Date("2004-01-01"))
plot(x)

## add rolling/running/moving average with window size 7
lines(rollmean(x, 7), col = 2, lwd = 2)

## if you don't want the rolling mean but rather a weekly
## time series of means you can do
nextfri <- function(x) 7 * ceiling(as.numeric(x - 1)/7) + as.Date(1)
xw <- aggregate(x, nextfri, mean)
## nextfri is a function which computes for a certain "Date"
## the next friday. xw is then the weekly series.
lines(xw, col = 4)

Note, that the differnce between is rolling mean and the aggregated
series is due to different alignments. This can be changed by changing
the `align' argument in rollmean() or the nextfri() function in the
aggregate call.

hth,
Z


> Any time series gurus out there?  Be gentle.  I'm an R beginner.
> 
> Thanx!
> 
> Bernard
> 
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