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Rolling statistics

statistics-rollMean.Rd

Computes rolling mean, min, max and median for a "timeSeries" object.

Usage

rollStats(x, k, FUN = mean, na.pad = FALSE, 
    align=c("center", "left", "right"), ...)
    
rollMean(x, k, na.pad = FALSE, 
    align = c("center", "left", "right"), ...)
rollMin(x, k, na.pad = FALSE, 
    align = c("center", "left", "right"), ...)
rollMax(x, k, na.pad = FALSE, 
    align = c("center", "left", "right"), ...)
rollMedian(x, k, na.pad = FALSE, 
    align = c("center", "left", "right"), ...)

Arguments

x

an uni- or multivariate "timeSeries" object.

k

an integer width of the rolling window. Must be odd for rollMedian.

FUN

the function to be rolled.

na.pad

a logical flag. Should NA padding be added at beginning? By default FALSE.

align

a character string specifying whether the index of the result should be left- or right-aligned or centered compared to the rolling window of observations. The default choice is set to align="center".

...

optional arguments to be passed.

Value

an object of class "timeSeries"

Details

The code in the core of the functions rollMean, rollMin, rollMax, and rollMedian was borrowed from the package zoo authored by Achim Zeileis, Gabor Grothendieck and Felix Andrews.

Author

Achim Zeileis, Gabor Grothendieck and Felix Andrews for code from the contributed R package zoo used in the functions rollMean, rollMin, rollMax, and rollMedian.

Examples

## Use Swiss Pension Fund Data Set of Returns - 
   head(LPP2005REC)
#> GMT 
#>                     SBI          SPI          SII          LMI         MPI
#> 2005-11-01 -0.000612745  0.008414595 -0.003190926 -0.001108882 0.001548062
#> 2005-11-02 -0.002762009  0.002519342 -0.004117638 -0.001175939 0.000342876
#> 2005-11-03 -0.001153092  0.012707292 -0.005209409 -0.000992456 0.010502959
#> 2005-11-04 -0.003235750 -0.000702757 -0.001127165 -0.001198528 0.011679558
#> 2005-11-07  0.001310970  0.006205226 -0.001795839  0.000360366 0.002709618
#> 2005-11-08  0.000539312  0.000329260  0.002103374  0.002327040 0.000346843
#>                     ALT        LPP25        LPP40        LPP60
#> 2005-11-01 -0.002572971 -0.000130008  0.000199980  0.000809672
#> 2005-11-02 -0.001141604 -0.001561421 -0.001120404 -0.000469730
#> 2005-11-03  0.005007442  0.001541418  0.003317548  0.005731589
#> 2005-11-04  0.009482677  0.000439969  0.002421248  0.004838735
#> 2005-11-07  0.004723952  0.001638182  0.002246611  0.003012363
#> 2005-11-08  0.000853619  0.001087309  0.000962708  0.000828043
   SPI <- LPP2005REC[, "SPI"]
   head(SPI)
#> GMT 
#>                     SPI
#> 2005-11-01  0.008414595
#> 2005-11-02  0.002519342
#> 2005-11-03  0.012707292
#> 2005-11-04 -0.000702757
#> 2005-11-07  0.006205226
#> 2005-11-08  0.000329260
   
## Plot Drawdowns - 
   rmean <- rollMean(SPI, k = 10)
   plot(rmean)