[R] apply a function to a rolling subset of a vector
Gabor Grothendieck
ggrothendieck at myway.com
Wed Mar 2 23:47:32 CET 2005
Whit Armstrong <whit <at> twinfieldscapital.com> writes:
:
: 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.
:
Look at ?filter . Also ?embed and gtools::running . filter is the
fastest.
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