[R] Rolling range and regression calculations

Achim Zeileis Achim.Zeileis at wu-wien.ac.at
Fri Jul 25 12:18:40 CEST 2008

On Thu, 24 Jul 2008, rcoder wrote:

> Hi everyone,
> I want to calculate a min and max (i.e. range) on a rolling time frame of 50
> periods for a matrix with the number of periods extending along the row
> direction. So for 300 periods, there will be 6 time frame windows per
> column, and 6 min max pairs. I then want to o/p these pairs to a separate
> matrix.
> On a separate matter, I have a matrix containing data on which perform a
> regresssion over a rolling time period. Is there a convenient way I can do
> this for each column, and then save the gradient to an o/p matrix?

Look at the package "zoo", specifically the examples on the manual pages 
of ?rollapply and ?aggregate.zoo. These should be helpful in doing what 
you want. The package vignettes have further worked examples.


> Thanks,
> rcoder
> -- 
> View this message in context: http://www.nabble.com/Rolling-range-and-regression-calculations-tp18643465p18643465.html
> Sent from the R help mailing list archive at Nabble.com.
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

More information about the R-help mailing list