[R] Moving quantile()?

[Charles C. Berry]

On Thu, 26 Nov 2009, Rob Steele wrote:

> Is there a faster way to get moving quantiles from a time series than to
> run quantile() at each step in the series?


Yes.

Run

 	help.request()

Since you have already done the first 4 items below (right?) you will 
answer 'y', but when you get to the fifth one (which you evidently have 
not done), you will have to answer 'n'.

----

Checklist:
Have you read the posting guide? (y/n) y
Have you checked the FAQ? (y/n) y
Have you checked An Introduction to R? (y/n) y
Have you checked the NEWS of the latest development release? (y/n) y
Have you looked on RSiteSearch? (y/n) n

----

This will start a browser with the RSiteSearch URL loaded.

Now comes the tricky part --- you have to type something into the 'Query' 
box and then click on 'Search'. Perhaps

 	moving quantiles

will work??

It did for me, and the function I found by that strategy seems to be 
faster than

 	apply(embed(x[1:10000],100),1,quantile,.75)

by about 3 orders of magnitude.

HTH,

Chuck

>
> Thanks,
> Rob
>
> ______________________________________________
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

Charles C. Berry                            (858) 534-2098
                                             Dept of Family/Preventive Medicine
E mailto:cberry at tajo.ucsd.edu	            UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/  La Jolla, San Diego 92093-0901