[R] apply a function to a rolling subset of a vector

[Ken Knoblauch]

Try this:

> ?convolve
> x<-rnorm(1000)
> y<-rep(1,20)
> z<-convolve(x,y,type="filter")
> plot(x,type="l")
> str(z)
 num [1:981] 6.31 7.28 8.16 7.39 4.65 ...
> lines(c(rep(0,10),z,rep(0,10)),col="yellow",lwd=3)
> lines(c(rep(0,10),z,rep(0,10))/length(y),col="red",lwd=3) #running mean

You wrote:
Does anyone know an easy way to calculate the rolling 20 period average
or sum of a vector?

For instance:
x <- rnorm(1000)

y <- apply.subset(x,20,fun="sum")

The first element of y would contain the sum of elements 1 to 20, the
second element of y 
would contain the sum of elements 2:21, and so on.

I thought I had seen this on the list a year or so ago, but I couldn't
find anything in the archives.


Thanks in advance,
Whit

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Ken Knoblauch
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